Minor changes to wording
This commit is contained in:
@@ -22,7 +22,7 @@ The kernel estimator $\hat{f}$ which estimates $f$ at the point $x$ is given as
|
||||
where $W=\sum_{i=1}^{N}w_i$ and $h\in\R^+$ is an arbitrary smoothing parameter called bandwidth.
|
||||
$K$ is a kernel function such that $\int K(u) \dop{u} = 1$.
|
||||
In general, any kernel can be used, however a common advice is to chose a symmetric and low-order polynomial kernel.
|
||||
Thus, several popular kernel functions are used in practice, like the Uniform, Gaussian, Epanechnikov, or Silverman kernel \cite{scott2015}.
|
||||
Several popular kernel functions are used in practice, like the Uniform, Gaussian, Epanechnikov, or Silverman kernel \cite{scott2015}.
|
||||
|
||||
While the kernel estimate inherits all the properties of the kernel, usually it is not of crucial matter if a non-optimal kernel was chosen.
|
||||
As a matter of fact, the quality of the kernel estimate is primarily determined by the smoothing parameter $h$ \cite{scott2015}.
|
||||
@@ -41,7 +41,7 @@ As a matter of fact, the quality of the kernel estimate is primarily determined
|
||||
% TODO aus gründen wird hier die Bandbreite als gegeben angenommen
|
||||
%
|
||||
%As mentioned above the particular choice of the kernel is only of minor importance as it affects the overall result in an negligible way.
|
||||
It is common practice to suspect that the data is approximately Gaussian, and therefore the Gaussian kernel is frequently used.
|
||||
It is common practice to suspect that the data is approximately Gaussian, hence the Gaussian kernel is frequently used.
|
||||
%Note that this assumption is different compared to assuming a concrete distribution family like a Gaussian distribution or mixture distribution.
|
||||
In this work we choose the Gaussian kernel in favour of computational efficiency as our approach is based on the approximation of the Gaussian filter.
|
||||
The Gaussian kernel is given as
|
||||
@@ -109,15 +109,15 @@ This reduces the number of kernel evaluations to $\landau{G}$, but the number of
|
||||
Using the FFT to perform the discrete convolution, the complexity can be further reduced to $\landau{G\log{G}}$ \cite{silverman1982algorithm}.%, which is currently the fastest exact BKDE algorithm.
|
||||
|
||||
The \mbox{FFT-convolution} approach is usually highlighted as the striking computational benefit of the BKDE.
|
||||
However, for this work it is the key to recognize the discrete convolution structure of \eqref{eq:binKde}, as this allows to interpret the computation of a density estimate as a signal filter problem.
|
||||
However, for this work it is key to recognize the discrete convolution structure of \eqref{eq:binKde}, as this allows to interpret the computation of a density estimate as a signal filter problem.
|
||||
This makes it possible to apply a wide range of well studied techniques from the broad field of digital signal processing (DSP).
|
||||
Using the Gaussian kernel from \eqref{eq:gausKern} in conjunction with \eqref{eq:binKde} results in the following equation
|
||||
Using the Gaussian kernel from \eqref{eq:gausKern} in conjunction with \eqref{eq:binKde} gives
|
||||
\begin{equation}
|
||||
\label{eq:bkdeGaus}
|
||||
\tilde{f}(g_x)=\frac{1}{W\sqrt{2\pi}} \sum_{j=1}^{G} \frac{C_j}{h} \expp{-\frac{(g_x-g_j)^2}{2h^2}} \text{.}
|
||||
\end{equation}
|
||||
|
||||
The above formula is a convolution operation of the data and the Gaussian kernel.
|
||||
The above formula is a convolution of the data and the Gaussian kernel.
|
||||
More precisely, it is a discrete convolution of the finite data grid and the Gaussian function.
|
||||
In terms of DSP this is analogous to filter the binned data with a Gaussian filter.
|
||||
This finding allows to speed up the computation of the density estimate by using a fast approximation scheme based on iterated box filters.
|
||||
|
||||
Reference in New Issue
Block a user