Efficient Profile Maximum Likelihood for Universal Symmetric Property Estimation
Talkat Robust and High-Dimensional Statistics (Simons Institute workshop, 2018) · 2018-10-29..11-02·
summary
Algorithm computes an approximate profile maximum likelihood distribution with objective value within a factor exp(O(N^{2/3})) of optimal, running in near‑linear time in profile size. Method lower‑bounds atom probabilities (≥1/(2N^2)), discretize probabilities into O(log N / ε) geometric levels and discretize frequencies, aggregate terms by combinatorial “types”, then replace the integer type assignment by a convex relaxation and round to an integral solution. Practical implementation shows the pipeline is implementable and yields usable universal estimators for symmetric properties.
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chapters (9)
- 0:00Intro
- 0:53Setting
- 5:08Sequence v/s Profile Maximum Likelihood
- 11:28Profile Maximum Likelihood Computation
- 14:30Symmetric property estimation
- 21:24PML is a universal symetric property estimator
- 25:10Universal Estimator Approaches
- 28:40Structured approximate distribution
- 40:08Experiments : Entropy estimation
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