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arXiv 1508.00536cs.ITmath.ITphysics.data-an
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基于局部高斯近似的互信息估计

Estimating Mutual Information by Local Gaussian Approximation

Shuyang Gao, Greg Ver Steeg, Aram Galstyan

摘要:

从样本中估计互信息(MI)是统计学、机器学习和数据分析中的基本问题。最近研究表明,一类流行的非参数MI估计对强相依变量的表现非常差,并且具有与真实MI呈指数级的样本复杂性。这种不希望的行为是由于依赖于这些估计的局部均匀性的基础(和未知的)概率密度函数。在这里,我们提出了一种新的半参数估计的互信息,在每个样本点,密度是{ \em局部}近似的高斯分布。我们证明了估计量是渐近无偏的。我们还表明,建议的估计有一个优越的性能相比,几个基线,并能够准确地测量关系的强度超过许多数量级。

英文摘要:

Estimating mutual information (MI) from samples is a fundamental problem in statistics, machine learning, and data analysis. Recently it was shown that a popular class of non-parametric MI estimators perform very poorly for strongly dependent variables and have sample complexity that scales exponentially with the true MI. This undesired behavior was attributed to the reliance of those estimators on local uniformity of the underlying (and unknown) probability density function. Here we present a novel semi-parametric estimator of mutual information, where at each sample point, densities are {\em locally} approximated by a Gaussians distribution. We demonstrate that the estimator is asymptotically unbiased. We also show that the proposed estimator has a superior performance compared to several baselines, and is able to accurately measure relationship strengths over many orders of magnitude.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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