Probability density estimation using elliptical basis functions

AIChE Journal ◽  
1994 ◽  
Vol 40 (10) ◽  
pp. 1639-1649 ◽  
Author(s):  
Lloyd P. M. Johnston ◽  
Mark A. Kramer
Keyword(s):  
Probability Density ◽  
Density Estimation ◽  
Basis Functions ◽  
Probability Density Estimation

scholarly journals Semiparametric maximum likelihood probability density estimation

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259111
Author(s):  
Frank Kwasniok
Keyword(s):  
Maximum Likelihood ◽  
Probability Density ◽  
Density Estimation ◽  
Basis Functions ◽  
Global Maximum ◽  
Probability Density Estimation ◽  
Inference Problem ◽  
Diverse Range ◽  
Infinite Domains ◽  
Truncated Moment Problem

A comprehensive methodology for semiparametric probability density estimation is introduced and explored. The probability density is modelled by sequences of mostly regular or steep exponential families generated by flexible sets of basis functions, possibly including boundary terms. Parameters are estimated by global maximum likelihood without any roughness penalty. A statistically orthogonal formulation of the inference problem and a numerically stable and fast convex optimization algorithm for its solution are presented. Automatic model selection over the type and number of basis functions is performed with the Bayesian information criterion. The methodology can naturally be applied to densities supported on bounded, infinite or semi-infinite domains without boundary bias. Relationships to the truncated moment problem and the moment-constrained maximum entropy principle are discussed and a new theorem on the existence of solutions is contributed. The new technique compares very favourably to kernel density estimation, the diffusion estimator, finite mixture models and local likelihood density estimation across a diverse range of simulation and observation data sets. The semiparametric estimator combines a very small mean integrated squared error with a high degree of smoothness which allows for a robust and reliable detection of the modality of the probability density in terms of the number of modes and bumps.

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