Abstract
A kernel method for estimating a probability density function from an independent and identically distributed sample drawn from such density is presented. Our estimator is a linear combination of kernel functions, the coefficients of which are determined by a linear equation. An error analysis for the mean integrated squared error is established in a general reproducing kernel Hilbert space setting. The theory developed is then applied to estimate probability density functions belonging to weighted Korobov spaces, for which a dimension-independent convergence rate is established. Under a suitable smoothness assumption, our method attains a rate arbitrarily close to the optimal rate. Numerical results support our theory.
| Original language | English |
|---|---|
| Pages (from-to) | 1080-1102 |
| Number of pages | 23 |
| Journal | SIAM Journal on Numerical Analysis |
| Volume | 61 |
| Issue number | 2 |
| Early online date | 27 Apr 2023 |
| DOIs | |
| Publication status | Published - 30 Apr 2023 |
Keywords
- density estimation
- high-dimensional approximation
- kernal methods