Establishes asymptotic unbiasedness and L2-consistency for k-NN estimators of KL divergence between densities in R^d under broad conditions, including Gaussians, plus new results for Kozachenko-Leonenko entropy estimators.
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Statistical estimation of the Kullback-Leibler divergence
Establishes asymptotic unbiasedness and L2-consistency for k-NN estimators of KL divergence between densities in R^d under broad conditions, including Gaussians, plus new results for Kozachenko-Leonenko entropy estimators.