Finite-sample concentration of the empirical relative entropy around its mean

In this note, we show that the relative entropy of an empirical distribution of $n$ samples drawn from a set of size $k$ with respect to the true underlying distribution is exponentially concentrated around its expectation, with central moment generating function bounded by that of a gamma distribution with shape $2k$ and rate $n/2$. This improves on recent work of Bhatt and Pensia (arXiv 2021) on the same problem, who showed such a similar bound with an additional polylogarithmic factor of $k$ in the shape, and also confirms a recent conjecture of Mardia et al. (Information and Inference 2020). The proof proceeds by reducing the case $k>3$ of the multinomial distribution to the simpler case $k=2$ of the binomial, for which the desired bound follows from standard results on the concentration of the binomial.

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