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A recursive procedure for density estimation on the binary hypercube. (English) Zbl 1337.62070
Summary: This paper describes a recursive estimation procedure for multivariate binary densities (probability distributions of vectors of Bernoulli random variables) using orthogonal expansions. For \(d\) covariates, there are \(2^{d}\) basis coefficients to estimate, which renders conventional approaches computationally prohibitive when \(d\) is large. However, for a wide class of densities that satisfy a certain sparsity condition, our estimator runs in probabilistic polynomial time and adapts to the unknown sparsity of the underlying density in two key ways: (1) it attains near-minimax mean-squared error for moderate sample sizes, and (2) the computational complexity is lower for sparser densities. Our method also allows for flexible control of the trade-off between mean-squared error and computational complexity.

MSC:
62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
62C20 Minimax procedures in statistical decision theory
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