Statistical estimation of the Kullback-Leibler divergence

MaRDI QIDQ6321262zbMATH OpenFDO

Authors Alexander V. Bulinski, Denis Dimitrov

Publication date 29 June 2019

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: Wide conditions are provided to guarantee asymptotic unbiasedness and L^2-consistency of the introduced estimates of the Kullback-Leibler divergence for probability measures in R^d having densities w.r.t. the Lebesgue measure. These estimates are constructed by means of two independent collections of i.i.d. observations and involve the specified k-nearest neighbor statistics. In particular, the established results are valid for estimates of the Kullback-Leibler divergence between any two Gaussian measures in R^d with nondegenerate covariance matrices. As a byproduct we obtain new statements concerning the Kozachenko-Leonenko estimators of the Shannon differential entropy.

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