TL;DR本研究提出了一个通用的框架,用于使用 k 最近邻算法估计非参数连续概率密度的泛函,包括熵和散度。该框架将多个先前的估计器统一起来,并提供了首个有限样本保证。
Abstract
We provide finite-sample analysis of a general framework for using k-nearest
neighbor statistics to estimate functionals of a nonparametric continuous
probability density, including entropies and divergences. Rather than plugging
a consistent density estimate (which requires $k \to \in