Centered gamma moment-generating-function conjecture for empirical relative entropy
Centered gamma moment-generating-function conjecture for empirical relative entropy
Let denote the empirical relative entropy statistic for a multinomial distribution with sample size , alphabet size , and distribution . Let be a real parameter satisfying .
Centered gamma moment-generating-function conjecture. For every , , and ,
The right-hand side is the centered log moment-generating function of a gamma distribution with shape and rate . The conjecture would imply a one-sided form of the preceding concentration conjecture; it was attributed in the source to Agrawal and remains unresolved here.
Sources & referencesView supporting material
Primary source
Rohit Agrawal, “Finite-sample concentration of the empirical relative entropy around its mean”, arXiv:2203.00800 (2022).
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