Adaptive Estimation of Distributions Using Exponential Sub-Families |
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Authors: | Alan Gous |
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Affiliation: | Department of Statistics , Stanford University , Stanford , CA , 94305 , USA |
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Abstract: | 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. |
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Keywords: | Deviance Logspline density Orthogonal least-squares Rainfall distribution |
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