Fitting a Multi-modal Density by Dynamic Programming

Ery Arias-Castro; He Jiang

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arXiv · 2207.11121

Fitting a Multi-modal Density by Dynamic Programming

Ery Arias-Castro·He Jiang

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Abstract

We consider the problem of fitting a probability density function when it is constrained to have a given number of modal intervals. We propose a dynamic programming approach to solving this problem numerically. When this number is not known, we provide several data-driven ways for selecting it. We perform some numerical experiments to illustrate our methodology.

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Ery Arias-Castro, He Jiang. 2022-07-15. Fitting a Multi-modal Density by Dynamic Programming. https://arxiv.org/abs/2207.11121

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