Neural Estimation of Statistical Divergences

• URL: http://arxiv.org/abs/2110.03652v1
• Date: Thu, 7 Oct 2021 17:42:44 GMT
• Title: Neural Estimation of Statistical Divergences
• Authors: Sreejith Sreekumar and Ziv Goldfeld
• Abstract summary: A modern method for estimating statistical divergences relies on parametrizing an empirical variational form by a neural network (NN) In particular, there is a fundamental tradeoff between the two sources of error involved: approximation and empirical estimation. We show that neural estimators with a slightly different NN growth-rate are near minimax rate-optimal, achieving the parametric convergence rate up to logarithmic factors.
• Score: 24.78742908726579
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Statistical divergences (SDs), which quantify the dissimilarity between probability distributions, are a basic constituent of statistical inference and machine learning. A modern method for estimating those divergences relies on parametrizing an empirical variational form by a neural network (NN) and optimizing over parameter space. Such neural estimators are abundantly used in practice, but corresponding performance guarantees are partial and call for further exploration. In particular, there is a fundamental tradeoff between the two sources of error involved: approximation and empirical estimation. While the former needs the NN class to be rich and expressive, the latter relies on controlling complexity. We explore this tradeoff for an estimator based on a shallow NN by means of non-asymptotic error bounds, focusing on four popular $\mathsf{f}$-divergences -- Kullback-Leibler, chi-squared, squared Hellinger, and total variation. Our analysis relies on non-asymptotic function approximation theorems and tools from empirical process theory. The bounds reveal the tension between the NN size and the number of samples, and enable to characterize scaling rates thereof that ensure consistency. For compactly supported distributions, we further show that neural estimators with a slightly different NN growth-rate are near minimax rate-optimal, achieving the parametric convergence rate up to logarithmic factors.

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