Density estimation in RKHS with application to Korobov spaces in high dimensions

Fabio Nobile (EPFL, Lausanne)

Apr 08. 2022, 11:10 — 12:00

In this talk, we present a general framework for kernel estimation of a probability density function (pdf) from an i.i.d. sample drawn from such density. Our estimator is a linear combination of kernel functions, the coefficients of which are determined by a linear equation. An error analysis for the mean integrated squared error is established in a
general reproducing kernel Hilbert space setting. The theory developed is then applied to estimate pdfs belonging to weighted Korobov spaces, for which a dimension-independent convergence rate is established. Under a suitable smoothness assumption, our method attains a rate arbitrarily close to the optimal rate. Numerical results support our theory.

Further Information
ESI Boltzmann Lecture Hall
Associated Event:
Adaptivity, High Dimensionality and Randomness (Workshop)
Carsten Carstensen (HU Berlin)
Albert Cohen (Sorbonne U, Paris)
Michael Feischl (TU Vienna)
Christoph Schwab (ETH Z├╝rich)