Besting Good-Turing for probability estimation over large domains
Abstract: When faced with a small sample from a large universe of possible outcomes, scientists often turn to the venerable Good-Turing estimator. Despite its pedigree, however, this estimator comes with considerable drawbacks, such as the need to hand-tune smoothing parameters and the lack of a precise optimality guarantee. We introduce a tuning-parameter-free estimator that bests Good-Turing in both theory and practice. Our method marries two classic ideas, namely Robbins' empirical Bayes and Kiefer-Wolfowitz's nonparametric maximum likelihood, to learn an implicit…



