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Density Estimation under Constraints

Peter Hall and Brett Presnell
Journal of Computational and Graphical Statistics
Vol. 8, No. 2 (Jun., 1999), pp. 259-277
DOI: 10.2307/1390636
Stable URL: http://www.jstor.org/stable/1390636
Page Count: 19
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Density Estimation under Constraints
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Abstract

We suggest a general method for tackling problems of density estimation under constraints. It is, in effect, a particular form of the weighted bootstrap, in which resampling weights are chosen so as to minimize distance from the empirical or uniform bootstrap distribution subject to the constraints being satisfied. A number of constraints are treated as examples. They include conditions on moments, quantiles, and entropy, the latter as a device for imposing qualitative conditions such as those of unimodality or "interestingness." For example, without altering the data or the amount of smoothing, we may construct a density estimator that enjoys the same mean, median, and quartiles as the data. Different measures of distance give rise to slightly different results.

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