Smoothing Spline Semiparametric Density Models

Jiahui Yu, Jian Shi, Anna Liu, Yuedong Wang
Density estimation plays a fundamental role in many areas of statistics and machine learning. Parametric, nonparametric, and semiparametric density estimation methods have been proposed in the literature. Semiparametric density models are flexible in incorporating domain knowledge and uncertainty regarding the shape of the density function. Existing literature on semiparametric density models is scattered and lacks a systematic framework. In this article, we consider a unified framework based
more » ... reproducing kernel Hilbert space for modeling, estimation, computation, and theory. We propose general semiparametric density models for both a single sample and multiple samples which include many existing semiparametric density models as special cases. We develop penalized likelihood based estimation methods and computational methods under different situations. We establish joint consistency and derive convergence rates of the proposed estimators for both finite dimensional Euclidean parameters and an infinite-dimensional functional parameter. We validate our estimation methods empirically through simulations and an application. Supplementary materials for this article are available online.
doi:10.6084/m9.figshare.12327953.v2 fatcat:zy23hc3u7nbx3amlgjabomh72m