Targeted Estimation of L2 Distance Between Densities and its Application to Geo-spatial Data

Autor:	Shan, George, van der Laan, Mark J.
Rok vydání:	2019
Předmět:	Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	We examine the integrated squared difference, also known as the L2 distance (L2D), between two probability densities. Such a distance metric allows for comparison of differences between pairs of distributions or changes in a distribution over time. We propose a targeted maximum likelihood estimator for this parameter based on samples of independent and identically distributed observations from both underlying distributions. We compare our method to kernel density estimation and demonstrate superior performance for our method with regards to confidence interval coverage rate and mean squared error. Comment: 17 pages, 3 figures, 2 appendices included
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1905.13414 Zobrazit plný text záznamu View this record from Arxiv