A Least-Squares Approach to Direct Importance Estimation

Abstract

We address the problem of estimating the ratio of two probability density functions, which is often referred to as the importance. The importance values can be used for various succeeding tasks such as covariate shift adaptation or outlier detection. In this paper, we propose a new importance estimation method that has a closed-form solution; the leave-one-out cross-validation score can also be computed analytically. Therefore, the proposed method is computationally highly efficient and simple to implement. We also elucidate theoretical properties of the proposed method such as the convergence rate and approximation error bounds. Numerical experiments show that the proposed method is comparable to the best existing method in accuracy, while it is computationally more efficient than competing approaches.