Density estimation for observational data plays an integral role in a broad spectrum of ap-plications, e.g. statistical data analysis and information-theoretic image registration. Of late, wavelet based density estimators have gained in popularity due to their ability to approximate a large class of functions; adapting well to difficult situations such as when densities exhibit abrupt changes. The decision to work with wavelet density estimators (WDE) brings along with it theoretical considerations (e.g. non-negativity, integrability) and empirical issues (e.g. computation of basis coefficients) that must be addressed in order to obtain a bona fide density. In this paper, we present a new method to accurately estimate a non-negative density which directly addresses many of the problems in practical wavelet density estimation. We cast the estimation procedure in a maximum likelihood framework which estimates the square root of the density √ p; allowing us to obtain the natural non-negative density representation � √ p � 2. Analysis of this method will bring to light a remarkable theoretical connection with the Fisher information of the density and consequently lead to an efficient constrained optimization pro-cedure to estimate the wavelet coefficients. We illustrate the effectiveness of the algorithm by evaluating its performance on mutual information based image registration, shape point set alignment and empirical comparisons to known densities. The present method is also compared to fixed and variable bandwidth kernel density estimators (KDE)
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