Flexible Multivariate Density Estimation With Marginal Adaptation

Symmetry-Aware Marginal Density Estimation

The Rao-Blackwell theorem is utilized to analyze and improve the scalability of inference in large probabilistic models that exhibit symmetries. A novel marginal density estimator is introduced and shown both analytically and empirically to outperform standard estimators by several orders of magnitude. The developed theory and algorithms apply to a broad class of probabilistic models including ...

Multivariate Locally Adaptive Density Estimation

SUMMARY: Multivariate versions of variable bandwidth kernel density estimators can be used to combat the eeects of the curse of dimensionality. They are also more exible than the xed bandwidth estimator to model complex (multimodal) densities. In this work, two variable bandwidth estimators are discussed: the balloon estimator which varies the smoothing matrix with each estimation point and the...

Multivariate Nonparametric Volatility Density Estimation

We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the process at discrete instants in time. The sampling times will be equidistant with vanishing distance. A multivariate Fourier-type deconvolution kernel density est...

Multivariate Density Estimation and Visualization

Pseudo-likelihood estimation for a marginal multivariate survival model.

In this paper, we propose a multivariate Plackett-Dale model for survival outcomes. A pseudo-likelihood method for the estimation of the parameters is proposed and these ideas are applied to two case studies. The modelling approach is similar in spirit but different from Parner's approach. The first study is in AIDS, where the overall survival time and different opportunistic infections in HIV-...