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Computational Statistics & Data Analysis
Article . 2019 . Peer-reviewed
License: Elsevier TDM
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Article . 2019
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https://dx.doi.org/10.48550/ar...
Article . 2018
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Article . 2019
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Fast multivariate log-concave density estimation

Authors: Fabian Rathke; Christoph Schnörr;

Fast multivariate log-concave density estimation

Abstract

A novel computational approach to log-concave density estimation is proposed. Previous approaches utilize the piecewise-affine parametrization of the density induced by the given sample set. The number of parameters as well as non-smooth subgradient-based convex optimization for determining the maximum likelihood density estimate cause long runtimes for dimensions $d \geq 2$ and large sample sets. The presented approach is based on mildly non-convex smooth approximations of the objective function and \textit{sparse}, adaptive piecewise-affine density parametrization. Established memory-efficient numerical optimization techniques enable to process larger data sets for dimensions $d \geq 2$. While there is no guarantee that the algorithm returns the maximum likelihood estimate for every problem instance, we provide comprehensive numerical evidence that it does yield near-optimal results after significantly shorter runtimes. For example, 10000 samples in $\mathbb{R}^2$ are processed in two seconds, rather than in $\approx 14$ hours required by the previous approach to terminate. For higher dimensions, density estimation becomes tractable as well: Processing $10000$ samples in $\mathbb{R}^6$ requires 35 minutes. The software is publicly available as CRAN R package fmlogcondens.

22 pages, 10 figures

Related Organizations
Keywords

FOS: Computer and information sciences, adaptive piecewise-affine parametrization, maximum likelihood estimation, Software, source code, etc. for problems pertaining to statistics, nonparametric density estimation, Statistics - Computation, Methodology (stat.ME), Density estimation, log-concavity, Computational methods for problems pertaining to statistics, Statistics - Methodology, Computation (stat.CO)

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Top 10%
Average
Average
Green
bronze