Targeted Estimation of L2 Distance Between Densities and its Application to Geo-spatial Data

05/31/2019

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by   George Shan, et al.

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We examine the integrated squared difference, also known as the L2 distance (L2D), between two probability densities. Such a distance metric allows for comparison of differences between pairs of distributions or changes in a distribution over time. We propose a targeted maximum likelihood estimator for this parameter based on samples of independent and identically distributed observations from both underlying distributions. We compare our method to kernel density estimation and demonstrate superior performance for our method with regards to confidence interval coverage rate and mean squared error.