A combined strategy for multivariate density estimation

DOI10.1080/10485252.2021.1906871MaRDI QIDQ5012334zbMATH OpenOpenAlexFDO

Authors Alejandro Cholaquidis, Badih Ghattas, Juan Kalemkerian, Ricardo Fraiman

Publication date 1 September 2021

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.04343

zbMATH Keywords

density estimationlevel sets neighbourhoodsnonlinear aggregation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Density estimation (62G07) Estimation in multivariate analysis (62H12)

Abstract: Non-linear aggregation strategies have recently been proposed in response to the problem of how to combine, in a non-linear way, estimators of the regression function (see for instance cite{biau:16}), classification rules (see cite{ch:16}), among others. Although there are several linear strategies to aggregate density estimators, most of them are hard to compute (even in moderate dimensions). Our approach aims to overcome this problem by estimating the density at a point $x$ using not just sample points close to $x$ but in a neighborhood of the (estimated) level set $f(x)$. We show, both theoretically and through a simulation study, that the mean squared error of our proposal is smaller than that of the aggregated densities. A Central Limit Theorem is also proven.

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Cited in

(4)

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Describes a project that uses

Uses Software

• COBRA

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