arXiv · 1701.06381
Minimax Optimal Estimators for Additive Scalar Functionals of Discrete Distributions
Abstract
In this paper, we consider estimators for an additive functional of $ϕ$, which is defined as $θ(P;ϕ)=\sum_{i=1}^kϕ(p_i)$, from $n$ i.i.d. random samples drawn from a discrete distribution $P=(p_1,...,p_k)$ with alphabet size $k$. We propose a minimax optimal estimator for the estimation problem of the additive functional. We reveal that the minimax optimal rate is characterized by the divergence speed of the fourth derivative of $ϕ$ if the divergence speed is high. As a result, we show there is no consistent estimator if the divergence speed of the fourth derivative of $ϕ$ is larger than $p^{-4}$. Furthermore, if the divergence speed of the fourth derivative of $ϕ$ is $p^{4-α}$ for $α\in (0,1)$, the minimax optimal rate is obtained within a universal multiplicative constant as $\frac{k^2}{(n\ln n)^{2α}} + \frac{k^{2-2α}}{n}$.
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Kazuto Fukuchi, Jun Sakuma. 2017-12-07. Minimax Optimal Estimators for Additive Scalar Functionals of Discrete Distributions. https://arxiv.org/abs/1701.06381
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