Nonparametric density estimation using Copula Transform, Bayesian sequential partitioning and diffusion-based Kernel estimator

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Department of Electrical and Computer Engineering


Non-parametric density estimation methods are more flexible than parametric methods, due to the fact that they do not assume any specific shape or structure for the data. Most non-parametric methods, like Kernel estimation, require tuning of parameters to achieve good data smoothing, a non-trivial task, even in low dimensions. In higher dimensions, sparsity of data in local neighborhoods becomes a challenge even for non-parametric methods. In this paper we use the copula transform and two efficient non-parametric methods to develop a new method for improved non-parametric density estimation in multivariate domain. After separation of marginal and joint densities using copula transform, a diffusion-based kernel estimator is employed to estimate the marginals. Next, Bayesian sequential partitioning (BSP) is used in the joint density estimation.

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Copyright 2019 IEEE. Publisher's version of record:

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IEEE Transactions on Knowledge and Data Engineering