We analyze the Kozachenko-Leonenko (KL) fixed k-nearest neighbor estimator for the differential entropy. We obtain the first uniform upper bound on its performance for any fixed k over H\{o}lder balls on a torus without assuming any conditions on how close the density could be from zero. Accompanying a recent minimax lower bound over the H\{o}lder ball, we show that the KL estimator for any fixed k is achieving the minimax rates up to logarithmic factors without cognizance of the smoothness parameter s of the H\{o}lder ball for $s \in (0,2]$ and arbitrary dimension d, rendering it the first estimator that provably satisfies this property.

Paper 1614 This paper studies the Kozachenko-Leonenko estimator for the differential entropy of a multivariate smooth density that satisfy a periodic boundary condition; an equivalent way to state the condition is to let the density be defined on the [0,1] d-torus. The authors show that the K-L estimator achieves a rate of convergence that is optimal up to poly-log factors. The result is interesting and the paper is well-written. I could not check the entirety of the proof but the parts I checked are correct. I recommend that the paper be accepted.

We analyze the Kozachenko–Leonenko (KL) fixed k-nearest neighbor estimator for the differential entropy. We obtain the first uniform upper bound on its performance for any fixed k over H\"{o}lder balls on a torus without assuming any conditions on how close the density could be from zero. Accompanying a recent minimax lower bound over the H\"{o}lder ball, we show that the KL estimator for any fixed k is achieving the minimax rates up to logarithmic factors without cognizance of the smoothness parameter s of the H\"{o}lder ball for $s \in (0,2]$ and arbitrary dimension d, rendering it the first estimator that provably satisfies this property. Papers published at the Neural Information Processing Systems Conference.