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Alonso-Ruiz, P · 2016 · DOI 10.1007/s11009-017-

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Statistical estimation of the Kullback-Leibler divergence

math.ST · 2019-06-29 · unverdicted · novelty 4.0

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 math.ST · 2019-06-29 · unverdicted · none · ref 1

    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.