Nearest-neighbor estimators for the Kullback-Leiber (KL) divergence that are asymptotically unbiased have recently been proposed and demonstrated in a number of applications. However, with a small number of samples, nonparametric methods typically suffer from large estimation bias due to the nonlocality of information derived from nearest-neighbor statistics. In this letter, we show that this estimation bias can be mitigated by modifying the metric function, and we propose a novel method for learning a locally optimal Mahalanobis distance function from parametric generative models of the underlying density distributions. Using both simulations and experiments on a variety of data sets, we demonstrate that this interplay between approximate generative models and nonparametric techniques can significantly improve the accuracy of nearest-neighbor-based estimation of the KL divergence.
Estimating the derivatives of probability density functions is an essential step in statistical data analysis. A naive approach to estimate the derivatives is to first perform density estimation and then compute its derivatives. However, this approach can be unreliable because a good density estimator does not necessarily mean a good density derivative estimator. To cope with this problem, in this letter, we propose a novel method that directly estimates density derivatives without going through density estimation. The proposed method provides computationally efficient estimation for the derivatives of any order on multidimensional data with a hyperparameter tuning method and achieves the optimal parametric convergence rate. We further discuss an extension of the proposed method by applying regularized multitask learning and a general framework for density derivative estimation based on Bregman divergences. Applications of the proposed method to nonparametric Kullback-Leibler divergence approximation and bandwidth matrix selection in kernel density estimation are also explored.