Local Intrinsic Dimensionality, Entropy and Statistical Divergences.

Properties of data distributions can be assessed at both global and local scales. At a highly localized scale, a fundamental measure is the local intrinsic dimensionality (LID), which assesses growth rates of the cumulative distribution function within a restricted neighborhood and characterizes properties of the geometry of a local neighborhood. In this paper, we explore the connection of LID to other well known measures for complexity assessment and comparison, namely, entropy and statistical distances or divergences. In an asymptotic context, we develop analytical new expressions for these quantities in terms of LID. This reveals the fundamental nature of LID as a building block for characterizing and comparing data distributions, opening the door to new methods for distributional analysis at a local scale.