Convergence of Smoothed Empirical Measures with Applications to Entropy Estimation

Ziv Goldfeld, Kristjan Greenewald, Yury Polyanskiy +1

This paper studies convergence of empirical measures smoothed by a Gaussian kernel. Specifically, consider approximating $P\ast {\mathcal{N}}_{\sigma }$, for $\mathcal{N}_σ\triangleq\mathcal{…