Nearest Neighbor Density Functional Estimation From Inverse Laplace Transform

DOI10.1109/TIT.2022.3151231MaRDI QIDQ5088489zbMATH OpenOpenAlexFDO

Authors J. Jon Ryu, Shouvik Ganguly, Younghan Kim, Yung-Kyun Noh, Daniel D. Lee

Publication date 13 July 2022

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.08342

zbMATH Keywords

density functionalnearest neighbor distances

Mathematics Subject Classification ID

Functional data analysis (62R10) Measures of information, entropy (94A17)

Abstract: A new approach to $L_2$-consistent estimation of a general density functional using $k$-nearest neighbor distances is proposed, where the functional under consideration is in the form of the expectation of some function $f$ of the densities at each point. The estimator is designed to be asymptotically unbiased, using the convergence of the normalized volume of a $k$-nearest neighbor ball to a Gamma distribution in the large-sample limit, and naturally involves the inverse Laplace transform of a scaled version of the function $f.$ Some instantiations of the proposed estimator recover existing $k$-nearest neighbor based estimators of Shannon and R'enyi entropies and Kullback--Leibler and R'enyi divergences, and discover new consistent estimators for many other functionals such as logarithmic entropies and divergences. The $L_2$-consistency of the proposed estimator is established for a broad class of densities for general functionals, and the convergence rate in mean squared error is established as a function of the sample size for smooth, bounded densities.

Cited in

(1)

• Efficient functional estimation and the super-oracle phenomenon

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