Kullback-Leibler Divergence for the Normal-Gamma Distribution
  We derive the Kullback-Leibler divergence for the normal-gamma distribution and show that it is identical to the Bayesian complexity penalty for the univariate general linear model with conjugate priors. Based on this finding, we provide two applications of the KL divergence, one in simulated and one in empirical data. 
Joram Soch, Carsten Allefeld
math.ST q-bio.NC stat.TH