Nonparametric Density Estimation via Diffusion Mixing

@inproceedings{Botev2007NonparametricDE,
  title={Nonparametric Density Estimation via Diffusion Mixing},
  author={Zdravko I. Botev},
  year={2007}
}
Suppose we are given empirical data and a prior density about the distribution of the data. We wish to construct a nonparametric density estimator that incorporates the prior information. We propose an estimator that allows for the incorporation of prior information in the density estimation procedure within a non-Bayesian framework. The prior density is mixed with the available empirical data via a Langevin diffusion process. The diffusion process is constructed so that the prior density is… CONTINUE READING
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