Density Estimation via Discrepancy Based Adaptive Sequential Partition
Given iid observations from an unknown absolute continuous distribution defined on some domain O, we propose a nonparametric method to learn a piecewise constant function to approximate the underlying probability density function. Our density estimate is a piecewise constant function defined on a binary partition of O. The key ingredient of the algorithm is to use discrepancy, a concept originates from Quasi Monte Carlo analysis, to control the partition process. The resulting algorithm is simple, efficient, and has a provable convergence rate. We empirically demonstrate its efficiency as a density estimation method. We also show how it can be utilized to find good initializations for k means.
NIPS