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There seems to be a large body of applied research where distribution q is picked to minimize KL(q,p) where p is empirical distribution. Are there theoretical reasons to prefer this estimator? For instance, a theoretical reason to prefer MLE for estimating mean of a one-dimensional Gaussian with mean between -1 and 1 because it's admissible, and also as sample size goes to infinity, it minimizes maximum risk and Bayes risk.

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    $\begingroup$ Is the KL minimization you refer to is done while containing p? (Otherwise, the minimizer will be trivially q). If so- KL minimization can be seen as an orthogonal projection, under KL norm. $\endgroup$
    – JohnRos
    Commented Oct 27, 2011 at 22:34
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    $\begingroup$ @JohnRos - I think your comment is a good start for an answer here. Do you want to repost as an answer and perhaps expand on the meaning/significance of "orthogonal projection under KL norm"? Yaroslav, I notice you are still an active user - could you indicate if this goes someway to answer your question or not? Thanks $\endgroup$
    – Corvus
    Commented Feb 17, 2013 at 20:45
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    $\begingroup$ This needs more background or context, what is $q$? If $q \in Q$, where $Q$ is a family of distributions indexed by $\theta$ you can show some connection to maximum likelihood. If $Q$ can be any imaginable density, we will just wind up with the EDF every single time which isn't interesting. $\endgroup$
    – AdamO
    Commented Nov 17, 2023 at 17:58

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