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Sparse kernel density estimator using orthogonal regression based on D-optimality experimental design

By S. Chen, X. Hong and C.J. Harris

Abstract

A novel sparse kernel density estimator is derived based on a regression approach, which selects a very small subset of significant kernels by means of the D-optimality experimental design criterion using an orthogonal forward selection procedure. The weights of the resulting sparse kernel model are calculated using the multiplicative nonnegative quadratic programming algorithm. The proposed method is computationally attractive, in comparison with many existing kernel density estimation algorithms. Our numerical results also show that the proposed method compares favourably with other existing methods, in terms of both test accuracy and model sparsity, for constructing kernel density estimates

Publisher: IEEE
Year: 2008
DOI identifier: 10.1109/ijcnn.2008.4633758
OAI identifier: oai:centaur.reading.ac.uk:14630
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