Density estimation via Bayesian inference engines

DOI10.48550/ARXIV.2009.06182MaRDI QIDQ59197zbMATH OpenOpenAlexFDO

Authors M. P. Wand, J. C. F. Yu, J. C. F. Yu, M. P. Wand

Publication date 14 September 2020

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.06182

zbMATH Keywords

expectation propagationmixed model-based penalized splinesno-U-turn samplersemiparametric mean field variational Bayesslice sampling

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07)

Abstract: We explain how effective automatic probability density function estimates can be constructed using contemporary Bayesian inference engines such as those based on no-U-turn sampling and expectation propagation. Extensive simulation studies demonstrate that the proposed density estimates have excellent comparative performance and scale well to very large sample sizes due to a binning strategy. Moreover, the approach is fully Bayesian and all estimates are accompanied by pointwise credible intervals. An accompanying package in the R language facilitates easy use of the new density estimates.

Recommendations

• Bayesian Density Estimation and Inference Using Mixtures
• scientific article; zbMATH DE number 1149886
• Bayesian density estimation
• Towards a practicable Bayesian nonparametric density estimator
• A Bayesian Approach to Density Estimation

Cites work

• scientific article; zbMATH DE number 3789676 (Why is no real title available?)
• scientific article; zbMATH DE number 3619167 (Why is no real title available?)
• scientific article; zbMATH DE number 469135 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 3366295 (Why is no real title available?)
• Bayesian Density Estimation and Inference Using Mixtures
• Bayesian density estimation using bernstein polynomials
• Confidence bands in density estimation
• Density Estimation and Bump-Hunting by the Penalized Likelihood Method Exemplified by Scattering and Meteorite Data
• Discrete Multivariate Analysis Theory and Practice
• Empirical likelihood confidence intervals for nonparametric density estimation
• Exact mean integrated squared error
• Extent to which least-squares cross-validation minimises integrated square error in nonparametric density estimation
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Graphical models, exponential families, and variational inference
• Interpolating spline methods for density estimation. I: Equi-spaced knots
• Kernel density estimation via diffusion
• MCMC using Hamiltonian dynamics
• ON SEMIPARAMETRIC REGRESSION WITH O'SULLIVAN PENALIZED SPLINES
• On confidence bands in nonparametric density estimation and regression
• On expectation propagation for generalised, linear and mixed models
• On the accuracy of binned kernel density estimators
• Semiparametric mean field variational Bayes: general principles and numerical issues
• Semiparametric regression during 2003--2007
• Semiparametric regression with R
• Simultaneous confidence bands for linear regression and smoothing
• Slice sampling. (With discussions and rejoinder)
• The Logistic Normal Distribution for Bayesian, Nonparametric, Predictive Densities
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• Variational inference for count response semiparametric regression

Cited in

(4)

• Indirect density estimation using the iterative Bayes algorithm
• Bayesian dynamic density estimation
• densEstBayes
• GADE: a generative adversarial approach to density estimation and its applications

Describes a project that uses

Uses Software

• R
• KernSmooth
• SemiPar
• BUGS
• Infer.NET
• JAGS
• bnsoft
• Stan
• Blaise
• NUTS

This page was built for publication: Density estimation via Bayesian inference engines

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q59197)