Multivariate Density Estimation via Adaptive Partitioning (I): Sieve MLE

Linxi Liu; Wing Hung Wong

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arXiv · 1401.2597

Multivariate Density Estimation via Adaptive Partitioning (I): Sieve MLE

Linxi Liu·Wing Hung Wong

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Abstract

We study a non-parametric approach to multivariate density estimation. The estimators are piecewise constant density functions supported by binary partitions. The partition of the sample space is learned by maximizing the likelihood of the corresponding histogram on that partition. We analyze the convergence rate of the sieve maximum likelihood estimator, and reach a conclusion that for a relatively rich class of density functions the rate does not directly depend on the dimension. This suggests that, under certain conditions, this method is immune to the curse of dimensionality, in the sense that it is possible to get close to the parametric rate even in high dimensions. We also apply this method to several special cases, and calculate the explicit convergence rates respectively.

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BibTeX RIS

Linxi Liu, Wing Hung Wong. 2014-01-12. Multivariate Density Estimation via Adaptive Partitioning (I): Sieve MLE. https://arxiv.org/abs/1401.2597

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