Estimating divergence functionals and the likelihood ratio by convex risk minimization

Estimating divergence functionals and the likelihood ratio by convex risk minimization

Report Number
764
Authors
XuanLong Nguyen, Martin J. Wainwright, and Michael I. Jordan
Abstract

We develop and analyze M-estimation methods for the divergence functionals and the likelihood ratios of two probability distributions. Our method is based on a non-asymptotic variational characterization of $f$-divergences, which allows the problem of estimating divergences to be tackled via convex risk optimization. The resulting estimators are simple to implement, requiring only the solution of standard convex programs. We present an analysis of consistency and convergence for these estimators. Given conditions only on the ratios of densities, we show that our estimators can achieve optimal minimax rates for the likelihood ratio in certain regimes. Finally, we derive an efficient optimization algorithm for computing our estimates, and illustrate their convergence behavior and practical viability by simulations.

PDF File