Estimating the Unseen: Improved Estimators for Entropy and other Properties

Part of Advances in Neural Information Processing Systems 26 (NIPS 2013)

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Paul Valiant, Gregory Valiant


Recently, [Valiant and Valiant] showed that a class of distributional properties, which includes such practically relevant properties as entropy, the number of distinct elements, and distance metrics between pairs of distributions, can be estimated given a SUBLINEAR sized sample. Specifically, given a sample consisting of independent draws from any distribution over at most n distinct elements, these properties can be estimated accurately using a sample of size O(n / log n). We propose a novel modification of this approach and show: 1) theoretically, our estimator is optimal (to constant factors, over worst-case instances), and 2) in practice, it performs exceptionally well for a variety of estimation tasks, on a variety of natural distributions, for a wide range of parameters. Perhaps unsurprisingly, the key step in this approach is to first use the sample to characterize the unseen" portion of the distribution. This goes beyond such tools as the Good-Turing frequency estimation scheme, which estimates the total probability mass of the unobserved portion of the distribution: we seek to estimate the "shape"of the unobserved portion of the distribution. This approach is robust, general, and theoretically principled; we expect that it may be fruitfully used as a component within larger machine learning and data analysis systems. "