Density estimation by dual ascent of the log-likelihood. (English) Zbl 1189.62063
Summary: 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.
MSC:
62G07 | Density estimation |
68T05 | Learning and adaptive systems in artificial intelligence |
35Q62 | PDEs in connection with statistics |
65C60 | Computational problems in statistics (MSC2010) |