Nearest Neighbor Density Functional Estimation From Inverse Laplace Transform

A new approach to $L_{2}$ -consistent estimation of a general density functional using $k$ -nearest neighbor distances is proposed, where the functional under consideration is in the form of the expectation of some function $f$ of the densities at each point. The estimator is designed to be asymptotically unbiased, using the convergence of the normalized volume of a $k$ -nearest neighbor ball to a Gamma distribution in the large-sample limit, and naturally involves the inverse Laplace transform of a scaled version of the function $f$ . Some instantiations of the proposed estimator recover existing $k$ -nearest neighbor based estimators of Shannon and Rényi entropies and Kullback–Leibler and Rényi divergences, and discover new consistent estimators for many other functionals such as logarithmic entropies and divergences. The $L_{2}$ -consistency of the proposed estimator is established for a broad class of densities for general functionals, and the convergence rate in mean squared error is established as a function of the sample size for smooth, bounded densities.