Density Estimation via Bayesian Inference Engines

14 Sep 2020M. P. WandJ. C. F. Yu

We explain how effective automatic probability density function estimates can be constructed using contemporary Bayesian inference engines such as those based on no-U-turn sampling and expectation propagation. Extensive simulation studies demonstrate that the proposed density estimates have excellent comparative performance and scale well to very large sample sizes due a binning strategy... (read more)

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