A recursive procedure for density estimation on the binary hypercube
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Abstract: This paper describes a recursive estimation procedure for multivariate binary densities (probability distributions of vectors of Bernoulli random variables) using orthogonal expansions. For covariates, there are basis coefficients to estimate, which renders conventional approaches computationally prohibitive when is large. However, for a wide class of densities that satisfy a certain sparsity condition, our estimator runs in probabilistic polynomial time and adapts to the unknown sparsity of the underlying density in two key ways: (1) it attains near-minimax mean-squared error for moderate sample sizes, and (2) the computational complexity is lower for sparser densities. Our method also allows for flexible control of the trade-off between mean-squared error and computational complexity.
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