Generalized Exponential Concentration Inequality for Rényi Divergence Estimation

28 Mar 2016Shashank SinghBarnabás Póczos

Estimating divergences in a consistent way is of great importance in many machine learning tasks. Although this is a fundamental problem in nonparametric statistics, to the best of our knowledge there has been no finite sample exponential inequality convergence bound derived for any divergence estimators... (read more)

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