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arXiv · 2505.22034

Random irregular histograms

Oskar Høgberg Simensen·Dennis Christensen·Nils Lid Hjort
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Abstract

We propose a new method of histogram construction, providing a fully Bayesian approach to irregular histograms. Our procedure applies Bayesian model selection to a piecewise constant model of the underlying distribution, resulting in a method that selects both the number of bins as well as their location based on the data in a fully automatic fashion. We show that the histogram estimate is consistent with respect to the Hellinger metric under mild regularity conditions, and that it attains a convergence rate equal to the minimax rate (up to a logarithmic factor) for H\"{o}lder continuous densities. Simulation studies indicate that the new method performs comparably to other histogram procedures, both for minimizing the estimation error and for identifying modes. A software implementation is included as supplementary material.

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Oskar Høgberg Simensen, Dennis Christensen, Nils Lid Hjort. 2025-05-28. Random irregular histograms. https://doi.org/10.1016/j.csda.2026.108367

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