【论文速递】Minimax Optimality of the NPMLE for Gaussian Mixtures in Hellinger Distance

英文标题：Minimax Optimality of the NPMLE for Gaussian Mixtures in Hellinger Distance

arXiv编号：2610.30109
作者：Shayan Hundrieser, Tudor Manole
来源：arXiv
原文链接：https://arxiv.org/abs/2610.30109

中文摘要：
We analyze the problem of estimating univariate Gaussian mixture densities using the nonparametric maximum likelihood estimator (NPMLE) based on $n$ independent and identically distributed samples. We show that the unconstrained NPMLE achieves the minimax optimal rate $\log(n)/n$ in squared Hellinger distance, when the true mixing measure is sub-Gaussian. In addition, we show that when the true mixing measure has compact support, the NMPLE constrained to a compact interval also achieves the minimax optimal rate, which is slightly faster and of order $\log(n)/(n \log \log n)$. Our proof consists of sharply characterizing the local Hellinger bracketing entropy of the class of finite Gaussian mixtures. One of our key technical innovations is to sharply bound the $L^2$ bracketing entropy of balls of bounded-degree polynomials, which may be of independent interest. As an application, we establish the regret-optimality of $g$-modeling procedures based on the NPMLE in the Gaussian Empirical Bayes problem with bounded priors.

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