On Estimating L22 Divergence

نویسندگان

  • Akshay Krishnamurthy
  • Kirthevasan Kandasamy
  • Barnabás Póczos
  • Larry A. Wasserman
چکیده

We give a comprehensive theoretical characterization of a nonparametric estimator for the L2 divergence between two continuous distributions. We first bound the rate of convergence of our estimator, showing that it is √ n-consistent provided the densities are sufficiently smooth. In this smooth regime, we then show that our estimator is asymptotically normal, construct asymptotic confidence intervals, and establish a Berry-Esséen style inequality characterizing the rate of convergence to normality. We also show that this estimator is minimax optimal.

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تاریخ انتشار 2015