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Penalized logspline density estimation using total variation penalty

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  • Bak, Kwan-Young
  • Jhong, Jae-Hwan
  • Lee, JungJun
  • Shin, Jae-Kyung
  • Koo, Ja-Yong

Abstract

We study a penalized logspline density estimation method using a total variation penalty. The B-spline basis is adopted to approximate the logarithm of density functions. Total variation of derivatives of splines is penalized to impart a data-driven knot selection. The proposed estimator is a bona fide density function in the sense that it is positive and integrates to one. We devise an efficient coordinate descent algorithm for implementation and study its convergence property. An oracle inequality of the proposed estimator is established when the quality of fit is measured by the Kullback–Leibler divergence. Based on the oracle inequality, it is proved that the estimator achieves an optimal rate of convergence in the minimax sense. We also propose a logspline method for the bivariate case by adopting the tensor-product B-spline basis and a two-dimensional total variation type penalty. Numerical studies show that the proposed method captures local features without compromising the global smoothness.

Suggested Citation

  • Bak, Kwan-Young & Jhong, Jae-Hwan & Lee, JungJun & Shin, Jae-Kyung & Koo, Ja-Yong, 2021. "Penalized logspline density estimation using total variation penalty," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
  • Handle: RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301511
    DOI: 10.1016/j.csda.2020.107060
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    References listed on IDEAS

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    1. P. Tseng, 2001. "Convergence of a Block Coordinate Descent Method for Nondifferentiable Minimization," Journal of Optimization Theory and Applications, Springer, vol. 109(3), pages 475-494, June.
    2. Koo, Ja-Yong & Kooperberg, Charles, 2000. "Logspline density estimation for binned data," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 133-147, January.
    3. Jérémie Bigot & Sébastien Van Bellegem, 2009. "Log‐density Deconvolution by Wavelet Thresholding," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(4), pages 749-763, December.
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    5. Kooperberg, Charles & Stone, Charles J., 1991. "A study of logspline density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 12(3), pages 327-347, November.
    6. Ja‐Yong Koo & Charles Kooperberg & Jinho Park, 1999. "Logspline Density Estimation under Censoring and Truncation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(1), pages 87-105, March.
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    8. Koo, Ja-Yong & Kim, Woo-Chul, 1996. "Wavelet density estimation by approximation of log-densities," Statistics & Probability Letters, Elsevier, vol. 26(3), pages 271-278, February.
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