Bagging of Density Estimators

Mathias Bourel (1) , Jairo Cugliari (2)

1 IMERL - Instituto de Matemática y Estadística Rafael Laguardia [Montevideo]
2 ERIC - Entrepôts, Représentation et Ingénierie des Connaissances

In this work we give new density estimators by averaging classical density estimators such as the histogram, the frequency polygon and the kernel density estimators obtained over different bootstrap samples of the original data. We prove the L 2-consistency of these new estimators and compare them to several similar approaches by extensive simulations. Based on them, we give also a way to construct non parametric pointwise confidence intervals for the target density.

Keywords: polygon frequency; histogram; aggregation; bagging; kernel density estimator; density estimation

Domains: Methodology [stat.ME]

Mathias Bourel, Jairo Cugliari. Bagging of Density Estimators. Computational Statistics, 2019. ⟨hal-01856183v1⟩