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- W2052103094 abstract "We develop and analyze a nonparametric method for estimating the class of f-divergence functionals, and the density ratio of two probability distributions. Our method is based on a non-asymptotic variational characterization of the f-divergence, which allows us to cast the problem of estimating divergences in terms of risk minimization. We thus obtain an M-estimator for divergences, based on a convex and differentiable optimization problem that can be solved efficiently. We analyze the consistency and convergence rates for this M-estimator given conditions only on the ratio of densities." @default.
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- W2052103094 date "2007-06-01" @default.
- W2052103094 modified "2023-10-16" @default.
- W2052103094 title "Nonparametric estimation of the likelihood ratio and divergence functionals" @default.
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- W2052103094 doi "https://doi.org/10.1109/isit.2007.4557517" @default.
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