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Estimation of Renyi Entropy and Mutual Information Based on Generalized Nearest-Neighbor Graphs
David Pal · Barnabas Poczos · Csaba Szepesvari

Mon Dec 06 12:00 AM -- 12:00 AM (PST) @
We present simple and computationally efficient nonparametric estimators of R\'enyi entropy and mutual information based on an i.i.d. sample drawn from an unknown, absolutely continuous distribution over $\R^d$. The estimators are calculated as the sum of $p$-th powers of the Euclidean lengths of the edges of the `generalized nearest-neighbor' graph of the sample and the empirical copula of the sample respectively. For the first time, we prove the almost sure consistency of these estimators and upper bounds on their rates of convergence, the latter of which under the assumption that the density underlying the sample is Lipschitz continuous. Experiments demonstrate their usefulness in independent subspace analysis.

Author Information

David Pal (Google)
Barnabas Poczos (Carnegie Mellon University)
Csaba Szepesvari (University of Alberta)

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