Nonparametric Score Estimators

• URL: http://arxiv.org/abs/2005.10099v2
• Date: Tue, 30 Jun 2020 06:41:58 GMT
• Title: Nonparametric Score Estimators
• Authors: Yuhao Zhou, Jiaxin Shi, Jun Zhu
• Abstract summary: Estimating the score from a set of samples generated by an unknown distribution is a fundamental task in inference and learning of probabilistic models. We provide a unifying view of these estimators under the framework of regularized nonparametric regression. We propose score estimators based on iterative regularization that enjoy computational benefits from curl-free kernels and fast convergence.
• Score: 49.42469547970041
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Estimating the score, i.e., the gradient of log density function, from a set of samples generated by an unknown distribution is a fundamental task in inference and learning of probabilistic models that involve flexible yet intractable densities. Kernel estimators based on Stein's methods or score matching have shown promise, however their theoretical properties and relationships have not been fully-understood. We provide a unifying view of these estimators under the framework of regularized nonparametric regression. It allows us to analyse existing estimators and construct new ones with desirable properties by choosing different hypothesis spaces and regularizers. A unified convergence analysis is provided for such estimators. Finally, we propose score estimators based on iterative regularization that enjoy computational benefits from curl-free kernels and fast convergence.

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