Kullback-Leibler distance

The Kullback-Leibler distance between the vectors generated by the sample data and those generated by its reduced information proxy is applied to assess the fidelity of the compressed vector with respect to the reference (or categorical) data in ...

The Kullback-Leibler distance is usually difficult to calculate explicitely. But the calculation can be carried through when both distributions are normal.
The calculation is a bit long, but quite instructive.
BETWEEN TWO NORMAL DISTRIBUTIONS ...

See also: Distribution, Estimation, Variance, Likelihood, Density