Date of Original Version

6-2014

Type

Conference Proceeding

Rights Management

Copyright 2014 by the author(s)

Abstract or Description

Estimating divergences between probability distributions in a consistent way is of great importance in many machine learning tasks. Although this is a fundamental problem in nonparametric statistics, to the best of our knowledge there has been no finite sample exponential inequality convergence bound derived for any divergence estimators. The main contribution of our work is to provide such a bound for an estimator of Renyi divergence for a smooth Holder class of densities on the d-dimensional unit cube. We also illustrate our theoretical results with a numerical experiment.

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Published In

Journal of Machine Learning Research : Workshop and Conference Proceedings, 32, 333-341.