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Consistency Bands for divergences measures

14 April 2016
Amadou Diadié Ba
ArXiv (abs)PDFHTML
Abstract

We consider non parametric estimation of Reyni alpha and Tsallis alpha divergences between continuous distributions. Our approach is to use wavelet and empirical process theory to construct estimators for particular integral functionals of two densities and construct consistency bands for divergence estimators.

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