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Information divergence functions, such as the Kullback-Leibler divergence or the Hellinger distance, play a critical role in statistical signal processing and information theory; however estimating them can be challenge. Most often, parametric assumptions are made about the two distributions to estimate the divergence of interest. In cases where no parametric model fits the data, non-parametric density estimation is used. In statistical signal processing applications, Gaussianity is usually assumed since closed-form expressions for common divergence measures have been derived for this family of distributions. Parametric assumptions are preferred when it is known that the data follows the model, however this is rarely the case in real-word scenarios. Non-parametric density estimators are characterized by a very large number of parameters that have to be tuned with costly cross-validation. In this dissertation the authors focus on a specific family of non-parametric estimators, called direct estimators, that bypass density estimation completely and directly estimate the quantity of interest from the data. The authors introduce a new divergence measure, the $D_p$-divergence, that can be estimated directly from samples without parametric assumptions on the distribution. The authors show that the $D_p$-divergence bounds the binary, cross-domain, and multi-class Bayes error rates and, in certain cases, provides provably tighter bounds than the Hellinger divergence. In addition, the authors also propose a new methodology that allows the experimenter to construct direct estimators for existing divergence measures or to construct new divergence measures with custom properties that are tailored to the application. To examine the practical efficacy of these new methods, the authors evaluate them in a statistical learning framework on a series of real-world data science problems involving speech-based monitoring of neuro-motor disorders.
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