Dataset Divergence#
What is it#
HP divergence is a nonparametric divergence metric which gives the distance between two datasets. A divergence of 0 means that the two datasets are approximately identically distributed. A divergence of 1 means the two datasets are completely separable.
When to use it#
The divergence metric should be used when you would like to know how far two datasets are diverged for one another. For example, if you would like to measure operational drift.