Research / BFI Working PaperOct 16, 2020

Estimating Certain Integral Probability Metrics (IPMs) Is as Hard as Estimating under the IPMs

We study the minimax optimal rates for estimating a range of Integral Probability Metrics (IPMs) between two unknown probability measures, based on n independent samples from them. Curiously, we show that estimating the IPM itself between probability measures is not significantly easier than estimating the probability measures under the IPM. We prove that the minimax optimal rates for these two problems are multiplicatively equivalent, up to a log log(n)/ log(n) factor.

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