Matlab and Python 2.7/3 implementations of the Han--Jiao--Weissman (HJW) Kullback--Leibler (KL) divergence estimator in Yanjun Han, Jiantao Jiao, and Tsachy Weissman. "Minimax Rate-Optimal Estimation of Divergences between Discrete Distributions" arXiv preprint arXiv:1605.09124 (2016). For details about how to use it, please refer to the manuals in the repository.