On Density Estimation under Relative Entropy Loss Criterion

  • Authors:
  • M. V. Burnashev;S. Amari

  • Affiliations:
  • -;-

  • Venue:
  • Problems of Information Transmission
  • Year:
  • 2002

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Abstract

A density estimation problem under relative entropy loss criterion is considered. When the densities estimated constitute a d-dimensional smooth parameter family, an exact asymptotics of the minimax risk is established.