This is identical to divergence, where for RVs X and Y with pdfs fX,fY, with supports SX⊂SY⊂R. Then the divergence between X and Y is D(X∥Y):=EfX[log2fY(Y)fX(X)]=∫SXfX(t)log2fY(t)fX(t)dt Multivariate version: D(Xn∥Yn):=∫SXnfXn(t1,⋯,tn)log2fYn(t1,⋯,tn)fXn(t1,⋯,tn)dt1⋯dtn