Authors: | Gather, Ursula Mildenberger, Thoralf Rozenholc, Yves |
Title: | Constructing irregular histograms by penalized likelihood |
Language (ISO): | en |
Abstract: | We propose a fully automatic procedure for the construction of irregular histograms. For a given number of bins, the maximum likelihood histogram is known to be the result of a dynamic programming algorithm. To choose the number of bins, we propose two different penalties motivated by recent work in model selection by Castellan [1] and Massart [2]. We give a complete description of the algorithm and a proper tuning of the penalties. Finally, we compare our procedure to other existing proposals for a wide range of different densities and sample sizes. [1] Castellan, G., 1999. Modified Akaike's criterion for histogram density estimation. Technical Report 99.61, Université de Paris-Sud. [2] Massart, P., 2007. Concentration inequalities and model selection. Lecture Notes in Mathematics Vol. 1896, Springer, New York. |
Subject Headings: | density estimation dynamic programming irregular histogram penalized likelihood |
URI: | http://hdl.handle.net/2003/26096 http://dx.doi.org/10.17877/DE290R-587 |
Issue Date: | 2009-04-30T10:42:23Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr04-09.pdf | DNB | 1.06 MB | Adobe PDF | View/Open |
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