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We develop and analyze $M$-estimation methods for divergence functionals and the likelihood ratios of two probability distributions.
A general class of coefficients of divergence of one distribution from another
S. M. Ali and S. D. Silvey · 1966
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A nearest-neighbor approach to estimating divergence between continuous random vectors
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Estimating divergence functionals and the likelihood ratio by penalized convex risk minimization
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Nonparametric estimation of the likelihood ratio and divergence functionals
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On surrogate losses and f f -divergences
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