Density functional estimators with k-nearest neighbor bandwidths

Weihao Gao, Sewoong Oh, Pramod Viswanath

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Estimating expected polynomials of density functions from samples is a basic problem with numerous applications in statistics and information theory. Although kernel density estimators are widely used in practice for such functional estimation problems, practitioners are left on their own to choose an appropriate bandwidth for each application in hand. Further, kernel density estimators suffer from boundary biases, which are prevalent in real world data with lower dimensional structures. We propose using the fixed-k nearest neighbor distances for the bandwidth, which adaptively adjusts to local geometry. Further, we propose a novel estimator based on local likelihood density estimators, that mitigates the boundary biases. Although such a choice of fixed-k nearest neighbor distances to bandwidths results in inconsistent estimators, we provide a simple debiasing scheme that precomputes the asymptotic bias and divides off this term. With this novel correction, we show consistency of this debiased estimator. We provide numerical experiments suggesting that it improves upon competing state-of-the-art methods.

Original languageEnglish (US)
Title of host publication2017 IEEE International Symposium on Information Theory, ISIT 2017
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1351-1355
Number of pages5
ISBN (Electronic)9781509040964
DOIs
StatePublished - Aug 9 2017
Event2017 IEEE International Symposium on Information Theory, ISIT 2017 - Aachen, Germany
Duration: Jun 25 2017Jun 30 2017

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095

Other

Other2017 IEEE International Symposium on Information Theory, ISIT 2017
Country/TerritoryGermany
CityAachen
Period6/25/176/30/17

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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