Distribution Estimation under the Infinity Norm
Aryeh Kontorovich Amichai Painsky
We present novel bounds for estimating discrete probability distributions
under the $\ell_\infty$ norm. These are nearly optimal in various precise
senses, including a kind of instance-optimality. Our data-dependent convergence
guarantees for the maximum likelihood estimator significantly improve upon the
currently known results. A variety of techniques are utilized and innovated
upon, including Chernoff-type inequalities and empirical Bernstein bounds. We
illustrate our results in synthetic and real-world experiments. Finally, we
apply our proposed framework to a basic selective inference problem, where we
estimate the most frequent probabilities in a sample.