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1 Ultsch Pareto Density Estimation Pareto Density Estimation: Probability Density Estimation for Knowledge Discovery

By Alfred Ultsch


Pareto Density Estimation (PDE) as defined in this work is a method for the estimation of probability density functions using hyperspheres. The radius of the hyperspheres is derived from optimizing information while minimizing set size. It is shown, that PDE is a very good estimate for clusters of Gaussian structure. The robustness of the method is tested with respect to cluster overlap, number of clusters, different variances in different clusters and application to high dimensional data. For high dimensional data PDE is found to be appropriate for the purpose of cluster analysis. The method is tested successfully on a difficult high dimensional real world problem: stock picking in falling markets. 1

Year: 2009
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