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Fitting a Multi-modal Density by Dynamic Programming

07/15/2022

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by Ery Arias-Castro, et al.

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We consider the problem of fitting a probability density function when it is constrained to have a given number of modal intervals. We propose a dynamic programming approach to solving this problem numerically. When this number is not known, we provide several data-driven ways for selecting it. We perform some numerical experiments to illustrate our methodology.

Ery Arias-Castro
34 publications
He Jiang
24 publications

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