Adaptive Estimation of Distributions Using Exponential Sub-Families

Abstract

An algorithm is presented that, for a large-dimensional exponential family G, finds a lower dimension exponential sub-family of G which contains distributions best fitting groups of identically distributed observations within a set of data. The data are therefore fitted to a family of distributions that has been adaptively chosen as representative of them. The algorithm is implemented in the special case in which G is a logspline family of distributions. An example data set is analyzed using the method.