Minimax estimation of the L 1 distance
Jiantao Jiao, Yanjun Han, Tsachy Weissman · 2016
We consider the problem of estimating the L1distance between two discrete probability measures P and Q from empirical data in a nonasymptotic and large alphabet setting. We construct minimax rate-optimal estimators for L1(P,Q) when Q is either known or unknown, and show that the performance of the optimal estimators with n samples is essentially that of the Maximum Likelihood Estimators (MLE) with n ln n samples. Hence, we demonstrate that the effective sample size enlargement phenomenon, discovered and discussed in Jiao et al. (2015), holds for this problem as well. However, the construction of optimal estimators for L1(P,Q) requires new techniques and insights outside the scope of the Approximation methodology of functional estimation in Jiao et al. (2015).