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Bayesian estimation of discrete entropy with mixtures of stick-breaking priors
Evan Archer · Jonathan W Pillow · Il Memming Park

Mon Dec 03 07:00 PM -- 12:00 AM (PST) @ Harrah’s Special Events Center 2nd Floor

We consider the problem of estimating Shannon's entropy H in the under-sampled regime, where the number of possible symbols may be unknown or countably infinite. Pitman-Yor processes (a generalization of Dirichlet processes) provide tractable prior distributions over the space of countably infinite discrete distributions, and have found major applications in Bayesian non-parametric statistics and machine learning. Here we show that they also provide natural priors for Bayesian entropy estimation, due to the remarkable fact that the moments of the induced posterior distribution over H can be computed analytically. We derive formulas for the posterior mean (Bayes' least squares estimate) and variance under such priors. Moreover, we show that a fixed Dirichlet or Pitman-Yor process prior implies a narrow prior on H, meaning the prior strongly determines the entropy estimate in the under-sampled regime. We derive a family of continuous mixing measures such that the resulting mixture of Pitman-Yor processes produces an approximately flat (improper) prior over H. We explore the theoretical properties of the resulting estimator, and show that it performs well on data sampled from both exponential and power-law tailed distributions.

Author Information

Evan Archer (Sony AI)
Jonathan W Pillow (UT Austin)

Jonathan Pillow is an assistant professor in Psychology and Neurobiology at the University of Texas at Austin. He graduated from the University of Arizona in 1997 with a degree in mathematics and philosophy, and was a U.S. Fulbright fellow in Morocco in 1998. He received his Ph.D. in neuroscience from NYU in 2005, and was a Royal Society postdoctoral reserach fellow at the Gatsby Computational Neuroscience Unit, UCL from 2005 to 2008. His recent work involves statistical methods for understanding the neural code in single neurons and neural populations, and his lab conducts psychophysical experiments designed to test Bayesian models of human sensory perception.

Il Memming Park (Stony Brook University)

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