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Density Estimation via Discrepancy Based Adaptive Sequential Partition.


ABSTRACT: Given iid observations from an unknown absolute continuous distribution defined on some domain ?, we propose a nonparametric method to learn a piecewise constant function to approximate the underlying probability density function. Our density estimate is a piecewise constant function defined on a binary partition of ?. The key ingredient of the algorithm is to use discrepancy, a concept originates from Quasi Monte Carlo analysis, to control the partition process. The resulting algorithm is simple, efficient, and has a provable convergence rate. We empirically demonstrate its efficiency as a density estimation method. We also show how it can be utilized to find good initializations for k-means.

SUBMITTER: Li D 

PROVIDER: S-EPMC6640859 | biostudies-literature | 2016 Dec

REPOSITORIES: biostudies-literature

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Density Estimation via Discrepancy Based Adaptive Sequential Partition.

Li Dangna D   Yang Kun K   Wong Wing Hung WH  

Advances in neural information processing systems 20161201


Given <i>iid</i> observations from an unknown absolute continuous distribution defined on some domain Ω, we propose a nonparametric method to learn a piecewise constant function to approximate the underlying probability density function. Our density estimate is a piecewise constant function defined on a binary partition of Ω. The key ingredient of the algorithm is to use discrepancy, a concept originates from Quasi Monte Carlo analysis, to control the partition process. The resulting algorithm i  ...[more]

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