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Density estimation using game theory

Author

Listed:
  • Ignacio García-Jurado
  • Luciano Méndez-Naya
  • César Sánchez-Sellero

Abstract

In this note we show that the mathematical tools of cooperative game theory allow a successful approach to the statistical problem of estimating a density function. Specifically, any random sample of an absolutely continuous random variable determines a transferable utility game, the Shapley value of which proves to be an estimator of the density function of binned kernel and WARPing types, with good computational and statistical properties. Copyright Springer-Verlag 2004

Suggested Citation

  • Ignacio García-Jurado & Luciano Méndez-Naya & César Sánchez-Sellero, 2004. "Density estimation using game theory," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 59(3), pages 349-357, July.
    • Handle: RePEc:spr:mathme:v:59:y:2004:i:3:p:349-357
    DOI: 10.1007/s001860400349
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    Cited by:

    1. V. Fragnelli, 2008. "Comments on: Transversality of the Shapley value," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(1), pages 42-43, July.

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