High dimensional density estimation with sparse grids
Density estimation is a classical and well studied problem in modern statistics. In the case of low dimensional problems there are a wide array of well understood and efficient non-parametric methods in the existing literature. In contrast, high dimensional density estimation remains a very challenging problem in this field. As the dimension of the variable space increases there is an exponential growth in both the computational complexity of the problem and in the required sample size. This is...[Show more]
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