Approximate inference of the bandwidth in multivariate kernel density estimation
Kernel density estimation is a popular and widely used non-parametric method for data-driven density estimation. Its appeal lies in its simplicity and ease of implementation, as well as its strong asymptotic results regarding its convergence to the true data distribution. However, a major difficulty is the setting of the bandwidth, particularly in high dimensions and with limited amount of data. An approximate Bayesian method is proposed, based on the Expectation-Propagation algorithm with a likelihood obtained from a leave-one-out cross validation approach. The proposed method yields an iterative procedure to approximate the posterior distribution of the inverse bandwidth. The approximate posterior can be used to estimate the model evidence for selecting the structure of the bandwidth and approach online learning. Extensive experimental validation shows that the proposed method is competitive in terms of performance with state-of-the-art plug-in methods.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009.
"A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation,"
Journal of Econometrics,
Elsevier, vol. 153(1), pages 21-32, November.
- Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics.
- Jones, M. C., 1991. "On correcting for variance inflation in kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 11(1), pages 3-15, January.
- Duong, Tarn & Cowling, Arianna & Koch, Inge & Wand, M.P., 2008. "Feature significance for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4225-4242, May.
- Tran, Thanh N. & Wehrens, Ron & Buydens, Lutgarde M.C., 2006. "KNN-kernel density-based clustering for high-dimensional multivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 513-525, November.
- Hazelton, Martin L. & Turlach, Berwin A., 2007. "Reweighted kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3057-3069, March.
- van der Laan Mark J. & Dudoit Sandrine & Keles Sunduz, 2004. "Asymptotic Optimality of Likelihood-Based Cross-Validation," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 3(1), pages 1-25, March.
- Tarn Duong & Martin L. Hazelton, 2005. "Cross-validation Bandwidth Matrices for Multivariate Kernel Density Estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(3), pages 485-506.
- N. Friel & A. N. Pettitt, 2008. "Marginal likelihood estimation via power posteriors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(3), pages 589-607.
- Jones, M.C. & Henderson, D.A., 2009. "Maximum likelihood kernel density estimation: On the potential of convolution sieves," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3726-3733, August.
- Calderhead, Ben & Girolami, Mark, 2009. "Estimating Bayes factors via thermodynamic integration and population MCMC," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4028-4045, October.
- Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
- Kamila Żychaluk & Prakash Patil, 2008. "A cross-validation method for data with ties in kernel density estimation," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(1), pages 21-44, March.
- Cao, Ricardo & Cuevas, Antonio & Gonzalez Manteiga, Wensceslao, 1994. "A comparative study of several smoothing methods in density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(2), pages 153-176, February.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:55:y:2011:i:12:p:3104-3122. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.