将统计学基本定理拓展至各类f散度,实现理论突破
Glivenko-Cantelli for $f$-divergence
- 在π系统上定义f散度,突破传统σ代数限制
- 首次建立f散度的Glivenko-Cantelli定理,保证收敛性
- 为散度学习提供新框架,适合理论研究者
我们将著名的格里文科-坎泰利定理(又称统计学基本定理)从传统的总变差距离推广到所有f-散度。研究中的关键挑战在于如何在不构成σ-子代数但形成π-系统的射线子集上定义f-散度。本文提出这一新定义,并证明其保留了标准f-散度的几乎所有性质;同时导出了柯尔莫哥洛夫-斯米尔诺夫距离的新积分表示式,并建立了f-散度的格里文科-坎泰利定理。此外,文章还探讨了针对f-散度的Vapnik-Chervonenkis理论的可能性。
原文摘要 · Abstract (English)
We extend the celebrated Glivenko-Cantelli theorem, sometimes called the fundamental theorem of statistics, from its standard setting of total variation distance to all $f$-divergences. A key obstacle in this endeavor is to define $f$-divergence on a subcollection of a $σ$-algebra that forms a $π$-system but not a $σ$-subalgebra. This is a side contribution of our work. We will show that this notion of $f$-divergence on the $π$-system of rays preserves nearly all known properties of standard $f$-divergence, yields a novel integral representation of the Kolmogorov-Smirnov distance, and has a Glivenko-Cantelli theorem. We will also discuss the prospects of a Vapnik-Chervonenkis theory for $f$-divergence.
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