Real-Time Density and Mode Estimation With Application to Time-Dynamic Mode Tracking

Abstract

We introduce a nonparametric time-dynamic kernel type density estimate for the situation where an underlying multivariate distribution evolves with time. Based on this timedynamic density estimate, we propose nonparametric estimates for the time-dynamic mode of the underlying distribution. Our estimators involve boundary kernels for the time dimension so that the estimator is always centered at current time, and multivariate kernels for the spatial dimension of the time-evolving distribution. Under certain mild conditions, the asymptotic behavior of density and mode estimators, especially their uniform convergence in both time and space, is derived. A time-dynamic algorithm for mode tracking is proposed, including automatic bandwidth choices, and is implemented via a mean update algorithm. Simulation studies and real data illustrations demonstrate that the proposed methods work well in practice.