In this paper, we propose some estimators for the parameters of a statistical model based on Kullback-Leibler divergence of the survival function in continuous setting. We prove that the proposed estimators are subclass of "generalized estimating equations" estimators. The asymptotic properties of the estimators such as consistency, asymptotic normality, asymptotic confidence interval and asymptotic hypothesis testing are investigated.
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 co…
We derive a closed-form solution for the Kullback-Leibler divergence between two Fréchet extreme-value distributions. The resulting expression is rather simple and involves the Euler-Mascheroni constant.
In this paper, we propose a theoretical analysis of the algorithm ISDE, introduced in previous work. From a dataset, ISDE learns a density written as a product of marginal density estimators over a partition of the features. We show that under some hypotheses, the Kullback-Leibler loss between the proper density and the output of ISDE is a bias term plus the sum of two terms which goes to zero as the number of samples goes to infinity. The rate of convergence indicates that ISDE tackles the curse of dimensionality by reducing the dimension from the one of the ambient space to the one of the bi…
We study the problem of model selection type aggregation with respect to the Kullback-Leibler divergence for various probabilistic models. Rather than considering a convex combination of the initial estimators $f_1, \ldots, f_N$, our aggregation procedures rely on the convex combination of the logarithms of these functions. The first method is designed for probability density estimation as it gives an aggregate estimator that is also a proper density function, whereas the second method concerns spectral density estimation and has no such mass-conserving feature. We select the aggregation weigh…
We study the problem of nonparametric estimation of density functions with a product form on the domain $\triangle=\{( x_1, \ldots, x_d)\in \mathbb{R}^d, 0\leq x_1\leq \dots \leq x_d \leq 1\}$. Such densities appear in the random truncation model as the joint density function of observations. They are also obtained as maximum entropy distributions of order statistics with given marginals. We propose an estimation method based on the approximation of the logarithm of the density by a carefully chosen family of basis functions. We show that the method achieves a fast convergence rate in probabil…
We study the maximum likelihood estimator of density of $n$ independent observations, under the assumption that it is well approximated by a mixture with a large number of components. The main focus is on statistical properties with respect to the Kullback-Leibler loss. We establish risk bounds taking the form of sharp oracle inequalities both in deviation and in expectation. A simple consequence of these bounds is that the maximum likelihood estimator attains the optimal rate $((\log K)/n)^{1/2}$, up to a possible logarithmic correction, in the problem of convex aggregation when the number $K…
We consider estimating the predictive density under Kullback-Leibler loss in a high-dimensional Gaussian model. Decision theoretic properties of the within-family prediction error -- the minimal risk among estimates in the class $\mathcal{G}$ of all Gaussian densities are discussed. We show that in sparse models, the class $\mathcal{G}$ is minimax sub-optimal. We produce asymptotically sharp upper and lower bounds on the within-family prediction errors for various subfamilies of $\mathcal{G}$. Under mild regularity conditions, in the sub-family where the covariance structure is represented by …
In a regression setup with deterministic design, we study the pure aggregation problem and introduce a natural extension from the Gaussian distribution to distributions in the exponential family. While this extension bears strong connections with generalized linear models, it does not require identifiability of the parameter or even that the model on the systematic component is true. It is shown that this problem can be solved by constrained and/or penalized likelihood maximization and we derive sharp oracle inequalities that hold both in expectation and with high probability. Finally all the …
We consider optimal sequential allocation in the context of the so-called stochastic multi-armed bandit model. We describe a generic index policy, in the sense of Gittins [J. R. Stat. Soc. Ser. B Stat. Methodol. 41 (1979) 148-177], based on upper confidence bounds of the arm payoffs computed using the Kullback-Leibler divergence. We consider two classes of distributions for which instances of this general idea are analyzed: the kl-UCB algorithm is designed for one-parameter exponential families and the empirical KL-UCB algorithm for bounded and finitely supported distributions. Our main contri…
In this paper, we study the strong consistency of a bias reduced kernel density estimator and derive a strongly con- sistent Kullback-Leibler divergence (KLD) estimator. As application, we formulate a goodness-of-fit test and an asymptotically standard normal test for model selection. The Monte Carlo simulation show the effectiveness of the proposed estimation methods and statistical tests.
We study an extension of the classic stochastic multi-armed bandit problem which involves multiple plays and Markovian rewards in the rested bandits setting. In order to tackle this problem we consider an adaptive allocation rule which at each stage combines the information from the sample means of all the arms, with the Kullback-Leibler upper confidence bound of a single arm which is selected in round-robin way. For rewards generated from a one-parameter exponential family of Markov chains, we provide a finite-time upper bound for the regret incurred from this adaptive allocation rule, which …
This article is devoted to the study of overlap measures of densities of two exponential populations. Various Overlapping Coefficients, namely: Matusita's measure $ρ$, Morisita's measure $λ$ and Weitzman's measure $Δ$. A new overlap measure $Λ$ based on Kullback-Leibler measure is proposed. The invariance property and a method of statistical inference of these coefficients also are presented. Taylor series approximation are used to construct confidence intervals for the overlap measures. The bias and mean square error properties of the estimators are studied through a simulation study.
This paper proposes a new family of lower and upper bounds on the minimum mean squared error (MMSE). The key idea is to minimize/maximize the MMSE subject to the constraint that the joint distribution of the input-output statistics lies in a Kullback-Leibler divergence ball centered at some Gaussian reference distribution. Both bounds are tight and are attained by Gaussian distributions whose mean is identical to that of the reference distribution and whose covariance matrix is determined by a scalar parameter that can be obtained by finding the root of a monotonic function. The upper bound co…
AIC is commonly used for model selection but the precise value of AIC has no direct interpretation. We are interested in quantifying a difference of risks between two models. This may be useful for both an explanatory point of view or for prediction, where a simpler model may be preferred if it does nearly as well as a more complex model. The difference of risks can be interpreted by linking the risks with relative errors in the computation of probabilities and looking at the values obtained for simple models. A scale of values going from negligible to large is proposed. We propose a normaliza…
School of Mathematics and Physics（数学与物理学院）；The University of Queensland（昆士兰大学）；Institute of Mathematics for Industry（产业数学研究所）；Kyushu University（九州大学）；School of Computing, Engineering, and Mathematical Sciences（计算、工程与数学科学学院）；La Trobe University（拉筹伯大学）
We consider the problem of estimating probability density functions based on sample data, using a finite mixture of densities from some component class. To this end, we introduce the $h$-lifted Kullback--Leibler (KL) divergence as a generalization of the standard KL divergence and a criterion for conducting risk minimization. Under a compact support assumption, we prove an $\mathcal{O}(1/{\sqrt{n}})$ bound on the expected estimation error when using the $h$-lifted KL divergence, which extends the results of Rakhlin et al. (2005, ESAIM: Probability and Statistics, Vol. 9) and Li and Barron (199…
Positivity of the prior probability of Kullback-Leibler neighborhood around the true density, commonly known as the Kullback-Leibler property, plays a fundamental role in posterior consistency. A popular prior for Bayesian estimation is given by a Dirichlet mixture, where the kernels are chosen depending on the sample space and the class of densities to be estimated. The Kullback-Leibler property of the Dirichlet mixture prior has been shown for some special kernels like the normal density or Bernstein polynomial, under appropriate conditions. In this paper, we obtain easily verifiable suffici…
This paper mainly focuses on studying the Shannon Entropy and Kullback-Leibler divergence of the multivariate log canonical fundamental skew-normal (LCFUSN) and canonical fundamental skew-normal (CFUSN) families of distributions, extending previous works. We relate our results with other well known distributions entropies. As a byproduct, we also obtain the Mutual Information for distributions in these families. Shannon entropy is used to compare models fitted to analyze the USA monthly precipitation data. Kullback-Leibler divergence is used to cluster regions in Atlantic ocean according to th…
We consider a Kullback-Leibler-based algorithm for the stochastic multi-armed bandit problem in the case of distributions with finite supports (not necessarily known beforehand), whose asymptotic regret matches the lower bound of \cite{Burnetas96}. Our contribution is to provide a finite-time analysis of this algorithm; we get bounds whose main terms are smaller than the ones of previously known algorithms with finite-time analyses (like UCB-type algorithms).
Bayesian nonparametric statistics is an area of considerable research interest. While recently there has been an extensive concentration in developing Bayesian nonparametric procedures for model checking, the use of the Dirichlet process, in its simplest form, along with the Kullback-Leibler divergence is still an open problem. This is mainly attributed to the discreteness property of the Dirichlet process and that the Kullback-Leibler divergence between any discrete distribution and any continuous distribution is infinity. The approach proposed in this paper, which is based on incorporating t…
The article presents new sup-sums principles for integral F-divergence for arbitrary convex function F and arbitrary (not necessarily positive and absolutely continuous) measures. As applications of these results we derive the corresponding sup-sums principle for Kullback--Leibler divergence and work out new `integral' definition for t-entropy explicitly establishing its relation to Kullback--Leibler divergence.
To characterize the Kullback-Leibler divergence and Fisher information in general parametrized hidden Markov models, in this paper, we first show that the log likelihood and its derivatives can be represented as an additive functional of a Markovian iterated function system, and then provide explicit characterizations of these two quantities through this representation. Moreover, we show that Kullback-Leibler divergence can be locally approximated by a quadratic function determined by the Fisher information. Results relating to the Cramér-Rao lower bound and the Hájek-Le Cam local asymptotic m…
We derive the Kullback-Leibler divergence for the normal-gamma distribution and show that it is identical to the Bayesian complexity penalty for the univariate general linear model with conjugate priors. Based on this finding, we provide two applications of the KL divergence, one in simulated and one in empirical data.
Experimental designs are tools which can drastically reduce the number of simulations required by time-consuming computer codes. One strategy for selecting the values of the inputs, whose response is to be observed, is to choose these values so that they are spread evenly throughout the experimental region, according to ?space filling designs?. In this article, we suggest a new criterion based on the Kullback-Leibler information for design construction. The aim is to minimize the difference between the empirical distribution of the design points and the uniform distribution which is equivalent…
In this paper, we discuss a property of the Kullback--Leibler divergence measured between two models of the family of the location-scale distributions. We show that, if model $M_1$ and model $M_2$ are represented by location-scale distributions, then the minimum Kullback--Leibler divergence from $M_1$ to $M_2$, with respect to the parameters of $M_2$, is independent from the value of the parameters of $M_1$. Furthermore, we show that the property holds for models that can be transformed into location-scale distributions. We illustrate a possible application of the property in objective Bayesia…
The concept of varentropy has been recently introduced as a dispersion index of the reliability of measure of information. In this paper, we introduce new measures of variability for two measures of uncertainty, the Kerridge inaccuracy measure and the Kullback-Leibler divergence. These new definitions and related properties, bounds and examples are presented. Finally we show an application of Kullback-Leibler divergence and its dispersion index using the mean-variance rule.
For the multivariate linear regression model with unknown covariance, the corrected Akaike information criterion is the minimum variance unbiased estimator of the expected Kullback--Leibler discrepancy. In this study, based on the loss estimation framework, we show its inadmissibility as an estimator of the Kullback--Leibler discrepancy itself, instead of the expected Kullback--Leibler discrepancy. We provide improved estimators of the Kullback--Leibler discrepancy that work well in reduced-rank situations and examine their performance numerically.
Rényi divergence is related to Rényi entropy much like Kullback-Leibler divergence is related to Shannon's entropy, and comes up in many settings. It was introduced by Rényi as a measure of information that satisfies almost the same axioms as Kullback-Leibler divergence, and depends on a parameter that is called its order. In particular, the Rényi divergence of order 1 equals the Kullback-Leibler divergence. We review and extend the most important properties of Rényi divergence and Kullback-Leibler divergence, including convexity, continuity, limits of $σ$-algebras and the relation of the spec…
Let $X| μ\sim N_p(μ,v_xI)$ and $Y| μ\sim N_p(μ,v_yI)$ be independent p-dimensional multivariate normal vectors with common unknown mean $μ$. Based on only observing $X=x$, we consider the problem of obtaining a predictive density $\hat{p}(y| x)$ for $Y$ that is close to $p(y| μ)$ as measured by expected Kullback--Leibler loss. A natural procedure for this problem is the (formal) Bayes predictive density $\hat{p}_{\mathrm{U}}(y| x)$ under the uniform prior $π_{\mathrm{U}}(μ)\equiv 1$, which is best invariant and minimax. We show that any Bayes predictive density will be minimax if it is obtaine…
This short note is on a property of the Kullback-Leibler (KL) divergence which indicates that independent Gaussian distributions minimize the KL divergence from given independent Gaussian distributions. The primary purpose of this note is for the referencing of papers that need to make use of this property entirely or partially.
The R-package vsgoftest performs goodness-of-fit (GOF) tests, based on Shannon entropy and Kullback-Leibler divergence, developed by Vasicek (1976) and Song (2002), of various classical families of distributions. The theoretical framework of the so-called Vasicek-Song (VS) tests is summarized and followed by a detailed description of the different features of the package. The power and computational time performances of VS tests are studied through their comparison with other GOF tests. Application to real datasets illustrates the easy-to-use functionalities of the vsgoftest package.
Many statistical studies are concerned with the analysis of observations organized in a matrix form whose elements are count data. When these observations are assumed to follow a Poisson or a multinomial distribution, it is of interest to focus on the estimation of either the intensity matrix (Poisson case) or the compositional matrix (multinomial case) when it is assumed to have a low rank structure. In this setting, it is proposed to construct an estimator minimizing the regularized negative log-likelihood by a nuclear norm penalty. Such an approach easily yields a low-rank matrix-valued est…
We show that the $f$-divergence between any two densities of potentially different location-scale families can be reduced to the calculation of the $f$-divergence between one standard density with another location-scale density. It follows that the $f$-divergence between two scale densities depends only on the scale ratio. We then report conditions on the standard distribution to get symmetric $f$-divergences: First, we prove that all $f$-divergences between densities of a location family are symmetric whenever the standard density is even, and second, we illustrate a generic symmetric propert…
In this paper, we derive a useful lower bound for the Kullback-Leibler divergence (KL-divergence) based on the Hammersley-Chapman-Robbins bound (HCRB). The HCRB states that the variance of an estimator is bounded from below by the Chi-square divergence and the expectation value of the estimator. By using the relation between the KL-divergence and the Chi-square divergence, we show that the lower bound for the KL-divergence which only depends on the expectation value and the variance of a function we choose. This lower bound can also be derived from an information geometric approach. Furthermor…
Expected Kullback-Leibler-based characterizations of score-driven updates
University of Amsterdam（阿姆斯特丹大学）；Goethe University Frankfurt（法兰克福歌德大学）；Erasmus School of Economics（伊拉斯姆斯经济学院）；Tinbergen Institute（丁伯根研究所）；Heidelberg Institute for Theoretical Studies（海德堡理论研究院）
We consider model-based reinforcement learning in finite Markov De- cision Processes (MDPs), focussing on so-called optimistic strategies. In MDPs, optimism can be implemented by carrying out extended value it- erations under a constraint of consistency with the estimated model tran- sition probabilities. The UCRL2 algorithm by Auer, Jaksch and Ortner (2009), which follows this strategy, has recently been shown to guarantee near-optimal regret bounds. In this paper, we strongly argue in favor of using the Kullback-Leibler (KL) divergence for this purpose. By studying the linear maximization pr…
The $α$-divergences include the well-known Kullback-Leibler divergence, Hellinger distance and $χ^2$-divergence. In this paper, we derive differential and integral relations between the $α$-divergences that are generalizations of the relation between the Kullback-Leibler divergence and the $χ^2$-divergence. We also show tight lower bounds for the $α$-divergences under given means and variances. In particular, we show a necessary and sufficient condition such that the binary divergences, which are divergences between probability measures on the same $2$-point set, always attain lower bounds. Ku…
