Sriperumbudur, B;
Fukumizu, K;
Gretton, A;
Hyvärinen, A;
Kumar, R;
(2017)
Density Estimation in Infinite Dimensional Exponential Families.
Journal of Machine Learning Research
, 18
, Article 57.
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Abstract
In this paper, we consider an infinite dimensional exponential family P of probability densities, which are parametrized by functions in a reproducing kernel Hilbert space H, and show it to be quite rich in the sense that a broad class of densities on R d can be approximated arbitrarily well in Kullback-Leibler (KL) divergence by elements in P. Motivated by this approximation property, the paper addresses the question of estimating an unknown density p0 through an element in P. Standard techniques like maximum likelihood estimation (MLE) or pseudo MLE (based on the method of sieves), which are based on minimizing the KL divergence between p0 and P, do not yield practically useful estimators because of their inability to efficiently handle the log-partition function. We propose an estimator ˆpn based on minimizing the Fisher divergence, J(p0kp) between p0 and p ∈ P, which involves solving a simple finite-dimensional linear system. When p0 ∈ P, we show that the proposed estimator is consistent, and provide a convergence rate of n − min{ 2 3 , 2β+1 2β+2 } in Fisher divergence under the smoothness assumption that log p0 ∈ R(C β ) for some β ≥ 0, where C is a certain Hilbert-Schmidt operator on H and R(C β ) denotes the image of C β . We also investigate the misspecified case of p0 ∈ P/ and show that J(p0kpˆn) → infp∈P J(p0kp) as n → ∞, and provide a rate for this convergence under a similar smoothness condition as above. Through numerical simulations we demonstrate that the proposed estimator outperforms the non-parametric kernel density estimator, and that the advantage of the proposed estimator grows as d increases.
| Type: | Article |
|---|---|
| Title: | Density Estimation in Infinite Dimensional Exponential Families |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | http://jmlr.org/papers/v18/16-011.html |
| Language: | English |
| Additional information: | © 2017 Bharath Sriperumbudur, Kenji Fukumizu, Arthur Gretton, Aapo Hyv¨arinen and Revant Kumar. License: CC-BY 4.0, see https://creativecommons.org/licenses/by/4.0/. Attribution requirements are provided at http://jmlr.org/papers/v18/16-011.html. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Life Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Life Sciences > Gatsby Computational Neurosci Unit |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1433653 |
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