Density Estimation by Dual Ascent of the Log-likelihood

@inproceedings{Tabak2009DensityEB,
  title={Density Estimation by Dual Ascent of the Log-likelihood},
  author={Esteban G. Tabak},
  year={2009}
}
Abstract. A methodology is developed to assign, from an observed sample, a joint-probability distribution to a set of continuous variables. The algorithm proposed performs this assignment by mapping the original variables onto a jointly-Gaussian set. The map is built iteratively, ascending the log-likelihood of the observations, through a series of steps that move the marginal distributions along a random set of orthogonal directions towards normality. 
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