Estimating mutual information from i.i.d. samples drawn from an unknown joint density function is a basic statistical problem of broad interest with multitudinous applications. The most popular estimator is one proposed by Kraskov and St "ogbauer and Grassberger (KSG) in 2004, and is nonparametric and based on the distances of each sample to its @math nearest neighboring sample, where @math is a fixed small integer. Despite its widespread use (part of scientific software packages), theoretical properties of this estimator have been largely unexplored. In this paper we demonstrate that the estimator is consistent and also identify an upper bound on the rate of convergence of the bias as a function of number of samples. We argue that the superior performance benefits of the KSG estimator stems from a curious "correlation boosting" effect and build on this intuition to modify the KSG estimator in novel ways to construct a superior estimator. As a byproduct of our investigations, we obtain nearly tight rates of convergence of the @math error of the well known fixed @math nearest neighbor estimator of differential entropy by Kozachenko and Leonenko.
Alternative methods involve estimation of the entropies using spacings @cite_54 @cite_58 , the Edgeworth expansion @cite_65 , and convex optimization @cite_2 . Among the @math -NN methods, there are two variants: either @math is chosen to grow with the sample size @math or @math is fixed. There is a large literature on the former, where the classical result is the possibility of consistent estimation of the density from @math -NN distances @cite_47 @cite_25 , including recent sharper consistency characterizations @cite_12 @cite_3 . Several works have applied this basic insight towards the estimation of the specific case of information theoretic quantities @cite_24 @cite_53 and extensions to generalized NN graphs @cite_14 . For fixed @math -NN methods, apart from the works referred to in the main text, detailed experimental comparisons are in @cite_38 and local Gaussian approaches studied in @cite_15 @cite_11 @cite_56 bringing together local likelihood density estimation methods @cite_37 @cite_26 with @math -NN driven choices of kernel bandwidth.
@cite_38 @cite_37 @cite_14 @cite_26 @cite_15 @cite_54 @cite_53 @cite_65 @cite_3 @cite_56 @cite_24 @cite_2 @cite_47 @cite_58 @cite_25 @cite_12 @cite_11
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where (an)n ENo is some sequence of nonnegative numbers, (Sn),nENo is the sequence of partial sums, S0 = 0, Sn = XflXk, of another sequence (Xk)kEN of i.i.d. random variables, and A c R is a fixed Borel set such as [0,1] or [0, oo). Examples of such convolution series are subordinated distributions (f=0Oan = 1) which arise as distributions of random sums, and harmonic and ordinary renewal measures (a0 = 0, an = 1 n for all n C N in the first, an = 1 for all n C NO in the second case). These examples are in turn essential for the analysis of the large time behaviour of diverse applied models such as branching and queueing processes, they are also of interest in connection with representation theorems such as the Levy representation of infinitely divisible distributions. A traditional approach to such problems is via regular variation: If the underlying random variables are nonnegative we can use Laplace transforms and the related Abelian and Tauberian theorems [see, e.g., Stam (1973) in the context of subordination and Feller (1971, XIV.3) in connection with renewal theory; Embrechts, Maejima, and Omey (1984) is a recent treatment of generalized renewal measures along these lines]. The approach of the present paper is based on the Wiener-Levy-Gel'fand theorem and has occasionally been called the Banach algebra method. In Gruibel (1983) we gave a new variant of this method for the special case of lattice distributions, showing that by using the appropriate Banach algebras of sequences, arbitrarily fine expansions are possible under certain assumptions on the higher-order differences of (P(X1 = n))fnEN. Here we give a corresponding treatment of nonlattice distributions. We restrict ourselves to an analogue of first-order differences and obtain a number of theorems which perhaps are described best as next-term results. To explain this let us consider a special case in more detail. These lecture notes highlight the mathematical and computational structure relating to the formulation of, and development of algorithms for, the Bayesian approach to inverse problems in differential equations. This approach is fundamental in the quantification of uncertainty within applications in volving the blending of mathematical models with data. The finite dimensional situation is described first, along with some motivational examples. Then the development of probability measures on separable Banach space is undertaken, using a random series over an infinite set of functions to construct draws; these probability measures are used as priors in the Bayesian approach to inverse problems. Regularity of draws from the priors is studied in the natural Sobolev or Besov spaces implied by the choice of functions in the random series construction, and the Kolmogorov continuity theorem is used to extend regularity considerations to the space of Holder continuous functions. Bayes’ theorem is de rived in this prior setting, and here interpreted as finding conditions under which the posterior is absolutely continuous with respect to the prior, and determining a formula for the Radon-Nikodym derivative in terms of the likelihood of the data. Having established the form of the posterior, we then describe various properties common to it in the infinite dimensional setting. These properties include well-posedness, approximation theory, and the existence of maximum a posteriori estimators. We then describe measure-preserving dynamics, again on the infinite dimensional space, including Markov chain-Monte C arlo and sequential Monte Carlo methods, and measure-preserving reversible stochastic differential equations. By formulating the theory and algorithms on the underlying infinite dimensional space, we obtain a framework suitable for rigorous analysis of the accuracy of reconstructions, of computational complexity, as well as naturally constructing algorithms which perform well under mesh refinement, since they are inherently well-defined in infinite dimensions. We describe an interesting application of the principle of local learning to density estimation. Locally weighted fitting of a Gaussian with a regularized full covariance matrix yields a density estimator which displays improved behavior in the case where much of the probability mass is concentrated along a low dimensional manifold. While the proposed estimator is not guaranteed to integrate to 1 with a finite sample size, we prove asymptotic convergence to the true density. Experimental results illustrating the advantages of this estimator over classic non-parametric estimators are presented. Nous decrivons une application du principe d'apprentissage local a l'estimation de densite. Le lissage pondere localement d'une gaussienne utilisant une matrice de covariance pleine et regularisee conduit a un estimateur de densite ayant un comportement ameliore lorsque la masse de probabilite est concentree le long d'une variete de basse dimension. Meme si l'estimateur propose n'est pas garanti d'integrer a 1 sur un ensemble de donnees fini, nous prouvons la convergence asymptotique de la vraie densite. Les resultats experimentaux illustrant les avantages de cet estimateur sur les estimateurs non parametriques classiques sont presentes. Let f be a random Boolean formula that is an instance of 3-SAT. We consider the problem of computing the least real number k such that if the ratio of the number of clauses over the number of variables of f strictly exceeds k , then f is almost certainly unsatisfiable. By a well-known and more or less straightforward argument, it can be shown that kF5.191. This upper bound was improved by to 4.758 by first providing new improved bounds for the occupancy problem. There is strong experimental evidence that the value of k is around 4.2. In this work, we define, in terms of the random formula f, a decreasing sequence of random variables such that, if the expected value of any one of them converges to zero, then f is almost certainly unsatisfiable. By letting the expected value of the first term of the sequence converge to zero, we obtain, by simple and elementary computations, an upper bound for k equal to 4.667. From the expected value of the second term of the sequence, we get the value 4.601q . In general, by letting the U This work was performed while the first author was visiting the School of Computer Science, Carleton Ž University, and was partially supported by NSERC Natural Sciences and Engineering Research Council . of Canada , and by a grant from the University of Patras for sabbatical leaves. The second and third Ž authors were supported in part by grants from NSERC Natural Sciences and Engineering Research . Council of Canada . During the last stages of this research, the first and last authors were also partially Ž . supported by EU ESPRIT Long-Term Research Project ALCOM-IT Project No. 20244 . †An extended abstract of this paper was published in the Proceedings of the Fourth Annual European Ž Symposium on Algorithms, ESA’96, September 25]27, 1996, Barcelona, Spain Springer-Verlag, LNCS, . pp. 27]38 . That extended abstract was coauthored by the first three authors of the present paper. Correspondence to: L. M. Kirousis Q 1998 John Wiley & Sons, Inc. CCC 1042-9832r98r030253-17 253 We introduce a new approach to characterizing the unobserved portion of a distribution, which provides sublinear--sample estimators achieving arbitrarily small additive constant error for a class of properties that includes entropy and distribution support size. Additionally, we show new matching lower bounds. Together, this settles the longstanding question of the sample complexities of these estimation problems, up to constant factors. Our algorithm estimates these properties up to an arbitrarily small additive constant, using O(n log n) samples, where n is a bound on the support size, or in the case of estimating the support size, 1 n is a lower bound on the probability of any element of the domain. Previously, no explicit sublinear--sample algorithms for either of these problems were known. Our algorithm is also computationally extremely efficient, running in time linear in the number of samples used. In the second half of the paper, we provide a matching lower bound of Ω(n log n) samples for estimating entropy or distribution support size to within an additive constant. The previous lower-bounds on these sample complexities were n 2O(√log n). To show our lower bound, we prove two new and natural multivariate central limit theorems (CLTs); the first uses Stein's method to relate the sum of independent distributions to the multivariate Gaussian of corresponding mean and covariance, under the earthmover distance metric (also known as the Wasserstein metric). We leverage this central limit theorem to prove a stronger but more specific central limit theorem for "generalized multinomial" distributions---a large class of discrete distributions, parameterized by matrices, that represents sums of independent binomial or multinomial distributions, and describes many distributions encountered in computer science. Convergence here is in the strong sense of statistical distance, which immediately implies that any algorithm with input drawn from a generalized multinomial distribution behaves essentially as if the input were drawn from a discretized Gaussian with the same mean and covariance. Such tools in the multivariate setting are rare, and we hope this new tool will be of use to the community. This paper develops a nonparametric density estimator with parametric overtones. Suppose f(x, θ) is some family of densities, indexed by a vector of parameters θ. We define a local kernel-smoothed likelihood function which, for each x, can be used to estimate the best local parametric approximant to the true density. This leads to a new density estimator of the form f(x, o(x)), thus inserting the best local parameter estimate for each new value of x. When the bandwidth used is large, this amounts to ordinary full likelihood parametric density estimation, while for moderate and small bandwidths the method is essentially nonparametric, using only local properties of data and the model. Alternative ways more general than via the local likelihood are also described. The methods can be seen as ways of nonparametrically smoothing the parameter within a parametric class. Properties of this new semiparametric estimator are investigated. Our preferred version has approximately the same variance as the ordinary kernel method but potentially a smaller bias. The new method is seen to perform better than the traditional kernel method in a broad nonparametric vicinity of the parametric model employed, while at the same time being capable of not losing much in precision to full likelihood methods when the model is correct. Other versions of the method are approximately equivalent to using particular higher order kernels in a semiparametric framework. The methodology we develop can be seen as the density estimation parallel to local likelihood and local weighted least squares theory in nonparametric regression. We analyze mixture density approximation and estimation. We form a convex set of density functions by taking the convex hull of a parametric family, e.g. mixtures of the Gaussian location family. A sequence of finite mixture densities is formulated to provide a parsimonious approximation for the target density. If the target density itself is in the convex hull, we show that the approximation error goes to zero with a rate of 1 k, where k is the number of components in the approximation. If the target density is outside of the convex hull, the approximation error is equal to the best achievable error plus a term that goes to zero with a rate of 1 k. A greedy algorithm that introduces one component at each step is shown to achieve such an error rate. Similarly, a greedy estimation algorithm is provided to find such approximation for data from an arbitrary density. This algorithm estimates one mixture component at one time. We prove that such an algorithm achieves a likelihood nearly as good as the MLE (maximum likelihood estimate) over the whole convex hull. And we identify the difference as being bounded by order O(1 k), where k is the number of components in the estimate. Risks of such estimators are shown to be bounded by a sum of approximation error and estimation error. The error terms are identified. An optimal choice of k can be derived by minimizing the risk bound. Acting as a similar role as the bandwidth in non-parainetric density estimation, k controls two error terms in opposite directions. A large k reduces approximation error and increases estimation error. A MDL (minimum description length) principle is derived to provide an estimation method for k. And the estimated k is shown to achieve the risk bound as if we know the best k in advance. A new information projection theory is derived to expand the approximating class to include its information closure. We prove the existence and uniqueness of a f* in the closure of the convex hull C (in a sense we identify), such that D ( fpf* ) = infg∈CD fpg , where Dfpg is the Kullback-Leibler divergence. And log(fk) → log(f*) in L1 (f) for any sequence fk in C with Dfpfk→ infg∈CD fpg. Other characterizing properties of f* are also given. Local likelihood was introduced by Tibshirani and Hastie as a method of smoothing by local polynomials in non-Gaussian regression models. In this paper an extension of these methods to density estimation is discussed, and comparison with other methods of density estimation presented. The local likelihood method has particularly strong advantages over kernel methods when estimating tails of densities and in multivariate settings. Suppose constraints are incorporated in a simple manner. Asymptotic properties of the estimate are discussed. A method for computing the estimate is outlined. A new coding problem is introduced for a correlated source (X sup n ,Y sup n ) sub n=1 sup spl infin . The observer of X sup n can transmit data depending on X sup n at a prescribed rate R. Based on these data the observer of Y sup n tries to identify whether for some distortion measure spl rho (like the Hamming distance) n sup -1 spl rho (X sup n ,Y sup n ) spl les d, a prescribed fidelity criterion. We investigate as functions of R and d the exponents of two error probabilities, the probabilities for misacceptance, and the probabilities for misrejection. In the case where X sup n and Y sup n are independent, we completely characterize the achievable region for the rate R and the exponents of two error probabilities; in the case where X sup n and Y sup n are correlated, we get some interesting partial results for the achievable region. During the process, we develop a new method for proving converses, which is called "the inherently typical subset lemma". This new method goes considerably beyond the "entropy characterization" the "image size characterization," and its extensions. It is conceivable that this new method has a strong impact on multiuser information theory. We introduce a new probabilistic proximity search algorithm for range and A"-nearest neighbor (A"-NN) searching in both coordinate and metric spaces. Although there exist solutions for these problems, they boil down to a linear scan when the space is intrinsically high dimensional, as is the case in many pattern recognition tasks. This, for example, renders the A"-NN approach to classification rather slow in large databases. Our novel idea is to predict closeness between elements according to how they order their distances toward a distinguished set of anchor objects. Each element in the space sorts the anchor objects from closest to farthest to it and the similarity between orders turns out to be an excellent predictor of the closeness between the corresponding elements. We present extensive experiments comparing our method against state-of-the-art exact and approximate techniques, both in synthetic and real, metric and nonmetric databases, measuring both CPU time and distance computations. The experiments demonstrate that our technique almost always improves upon the performance of alternative techniques, in some cases by a wide margin. We consider the generalized dirty-paper channel Y=X+S+N,E X sup 2 spl les P sub X , where N is not necessarily Gaussian, and the interference S is known causally or noncausally to the transmitter. We derive worst case capacity formulas and strategies for "strong" or arbitrarily varying interference. In the causal side information (SI) case, we develop a capacity formula based on minimum noise entropy strategies. We then show that strategies associated with entropy-constrained quantizers provide lower and upper bounds on the capacity. At high signal-to-noise ratio (SNR) conditions, i.e., if N is weak relative to the power constraint P sub X , these bounds coincide, the optimum strategies take the form of scalar lattice quantizers, and the capacity loss due to not having S at the receiver is shown to be exactly the "shaping gain" 1 2log(2 spl pi e 12) spl ap 0.254 bit. We extend the schemes to obtain achievable rates at any SNR and to noncausal SI, by incorporating minimum mean-squared error (MMSE) scaling, and by using k-dimensional lattices. For Gaussian N, the capacity loss of this scheme is upper-bounded by 1 2log2 spl pi eG( spl Lambda ), where G( spl Lambda ) is the normalized second moment of the lattice. With a proper choice of lattice, the loss goes to zero as the dimension k goes to infinity, in agreement with the results of Costa. These results provide an information-theoretic framework for the study of common communication problems such as precoding for intersymbol interference (ISI) channels and broadcast channels. We consider in this paper the problem of sampling a high-dimensional probability distribution @math having a density with respect to the Lebesgue measure on @math , known up to a normalization constant @math . Such problem naturally occurs for example in Bayesian inference and machine learning. Under the assumption that @math is continuously differentiable, @math is globally Lipschitz and @math is strongly convex, we obtain non-asymptotic bounds for the convergence to stationarity in Wasserstein distance of order @math and total variation distance of the sampling method based on the Euler discretization of the Langevin stochastic differential equation, for both constant and decreasing step sizes. The dependence on the dimension of the state space of these bounds is explicit. The convergence of an appropriately weighted empirical measure is also investigated and bounds for the mean square error and exponential deviation inequality are reported for functions which are measurable and bounded. An illustration to Bayesian inference for binary regression is presented to support our claims. For crowded scenes, the accuracy of object-based computer vision methods declines when the images are low-resolution and objects have severe occlusions. Taking counting methods for example, almost all the recent state-of-the-art counting methods bypass explicit detection and adopt regression-based methods to directly count the objects of interest. Among regression-based methods, density map estimation, where the number of objects inside a subregion is the integral of the density map over that subregion, is especially promising because it preserves spatial information, which makes it useful for both counting and localization (detection and tracking). With the power of deep convolutional neural networks (CNNs) the counting performance has improved steadily. The goal of this paper is to evaluate density maps generated by density estimation methods on a variety of crowd analysis tasks, including counting, detection, and tracking. Most existing CNN methods produce density maps with resolution that is smaller than the original images, due to the downsample strides in the convolution pooling operations. To produce an original-resolution density map, we also evaluate a classical CNN that uses a sliding window regressor to predict the density for every pixel in the image. We also consider a fully convolutional (FCNN) adaptation, with skip connections from lower convolutional layers to compensate for loss in spatial information during upsampling. In our experiments, we found that the lower-resolution density maps sometimes have better counting performance. In contrast, the original-resolution density maps improved localization tasks, such as detection and tracking, compared to bilinear upsampling the lower-resolution density maps. Finally, we also propose several metrics for measuring the quality of a density map, and relate them to experiment results on counting and localization. We devise a new embedding technique, which we call measured descent, based on decomposing a metric space locally, at varying speeds, according to the density of some probability measure. This provides a refined and unified framework for the two primary methods of constructing Frechet embeddings for finite metrics, due to Bourgain (1985) and Rao (1999). We prove that any n-point metric space (X, d) embeds in Hilbert space with distortion (O ( _ X n ) , ) where α X is a geometric estimate on the decomposability of X. As an immediate corollary, we obtain an (O ( ( _ X ) n ) ) distortion embedding, where λ X is the doubling constant of X. Since λ X ≤ n, this result recovers Bourgain’s theorem, but when the metric X is, in a sense, “low-dimensional,” improved bounds are achieved. Abstract Recent advances in convex optimization have led to new strides in the phase retrieval problem over finite-dimensional vector spaces. However, certain fundamental questions remain: What sorts of measurement vectors uniquely determine every signal up to a global phase factor, and how many are needed to do so? Furthermore, which measurement ensembles yield stability? This paper presents several results that address each of these questions. We begin by characterizing injectivity, and we identify that the complement property is indeed a necessary condition in the complex case. We then pose a conjecture that 4 M − 4 generic measurement vectors are both necessary and sufficient for injectivity in M dimensions, and we prove this conjecture in the special cases where M = 2 , 3 . Next, we shift our attention to stability, both in the worst and average cases. Here, we characterize worst-case stability in the real case by introducing a numerical version of the complement property. This new property bears some resemblance to the restricted isometry property of compressed sensing and can be used to derive a sharp lower Lipschitz bound on the intensity measurement mapping. Localized frames are shown to lack this property (suggesting instability), whereas Gaussian random measurements are shown to satisfy this property with high probability. We conclude by presenting results that use a stochastic noise model in both the real and complex cases, and we leverage Cramer–Rao lower bounds to identify stability with stronger versions of the injectivity characterizations. * Recasts topics in random fields by following a completely new way of handling both geometry and probability * Significant exposition of the work of others in the field * Presentation is clear and pedagogical * Excellent reference work as well as excellent work for self study @PARASPLIT This monograph is devoted to a completely new approach to geometric problems arising in the study of random fields. The groundbreaking material in Part III, for which the background is carefully prepared in Parts I and II, is of both theoretical and practical importance, and striking in the way in which problems arising in geometry and probability are beautifully intertwined. @PARASPLIT The three parts to the monograph are quite distinct. Part I presents a user-friendly yet comprehensive background to the general theory of Gaussian random fields, treating classical topics such as continuity and boundedness, entropy and majorizing measures, Borell and Slepian inequalities. Part II gives a quick review of geometry, both integral and Riemannian, to provide the reader with the material needed for Part III, and to give some new results and new proofs of known results along the way. Topics such as Crofton formulae, curvature measures for stratified manifolds, critical point theory, and tube formulae are covered. In fact, this is the only concise, self-contained treatment of all of the above topics, which are necessary for the study of random fields. The new approach in Part III is devoted to the geometry of excursion sets of random fields and the related Euler characteristic approach to extremal probabilities. @PARASPLIT "Random Fields and Geometry" will be useful for probabilists and statisticians, and for theoretical and applied mathematicians who wish to learn about new relationships between geometry and probability. It will be helpful for graduate students in a classroom setting, or for self-study. Finally, this text will serve as a basic reference for all those interested in the companion volume of the applications of the theory. These applications, to appear in a forthcoming volume, will cover areas as widespread as brain imaging, physical oceanography, and astrophysics. Abstract Modifications of Prony's classical technique for estimating rate constants in exponential fitting problems have many contemporary applications. In this article the consistency of Prony's method and of related algorithms based on maximum likelihood is discussed as the number of observations n → ∞ by considering the simplest possible models for fitting sums of exponentials to observed data. Two sampling regimes are relevant, corresponding to transient problems and problems of frequency estimation, each of which is associated with rather different kinds of behavior. The general pattern is that the stronger results are obtained for the frequency estimation problem. However, the algorithms considered are all scaling dependent and consistency is not automatic. A new feature that emerges is the importance of an appropriate choice of scale in order to ensure consistency of the estimates in certain cases. The tentative conclusion is that algorithms referred to as Objective function Reweighting Algorithms ...