How to calculate the KL distance for the performance evaluation of ECG signals

I have a cover ecg signal and watermarked signal. now i want to calculate the KLdivergence. should i use the cover signal and watermarked signal directly in the place of pc(x) and pw(x) in the equation, i.e., D(pc,pw)=integration(pc(x) *log(pw(x)/pc(x)) dx), or i have to calculate the probabilities of the corresponding signals and then put on the equation.