Density Estimation via Bayesian Inference Engines

M. Wand; J.F.C. Yu

Corpus ID: 221655736

Density Estimation via Bayesian Inference Engines

@article{Wand2020DensityEV,
  title={Density Estimation via Bayesian Inference Engines},
  author={M. Wand and J.F.C. Yu},
  journal={ArXiv},
  year={2020},
  volume={abs/2009.06182}
}

M. Wand, J.F.C. Yu

Published 2020

Computer Science, Mathematics

ArXiv

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. Moreover, the approach is fully Bayesian and all estimates are accompanied by pointwise credible intervals… CONTINUE READING

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