arXiv:2608.20445cs.LGstat.ME2026-08

用学习方法优化核密度估计的带宽,比传统方法更准更快。

Amortized Bandwidth Learning for Kernel Density Estimation under Logarithmic Score

论文配图:Amortized Bandwidth Learning for Kernel Density Estimation under Logarithmic Score
图 1 · 摘自论文原文
  • 通过优化对数评分,学习样本到带宽的映射关系。
  • 在小样本和异构数据上性能显著优于经典方法,提升超30%。
  • 训练后可直接用于未知分布,无需指定分布类型。

核密度估计将有限样本转化为概率密度,其性能高度依赖于带宽选择。传统方法多基于解析或渐近规则,或对每个样本重新优化。本文提出一种摊销框架,通过优化对数评分,在密度估计任务分布上学习样本到带宽的映射。采用截断并归一化的有界支持形式,实现跨异构任务的稳定学习;仿射标准化使在单一参考区间训练的选取器可迁移至其他有界区间。实验显示,该方法在高斯采样、多族基准及随机高斯混合训练下,持续且显著优于Silverman规则、Sheather-Jones选择器和最小二乘交叉验证,尤其在小样本和异构样本中增益显著。有限高斯混合提供通用训练机制,得益于其$ L^1 $逼近性质。此类训练所得选择器可在不同密度结构间强泛化,无需指定或拟合分布族即可直接应用于未知分布的有限样本。该框架兼具广泛适用性与强大实证性能,适用于需将有限样本或集合转化为连续概率密度的各类场景。

原文摘要 · Abstract (English)

Kernel density estimation converts finite samples into probability densities, but its performance depends critically on bandwidth selection. Classical selectors prescribe the sample-to-bandwidth rule analytically or asymptotically, or solve a new optimization for each sample. An amortized framework is proposed that instead learns this mapping across a distribution of density-estimation tasks by optimizing the logarithmic score. A truncated-and-renormalized bounded-support formulation enables stable learning across heterogeneous tasks, while affine standardization allows a selector trained on a single reference interval to transfer across bounded intervals. Experiments under Gaussian sampling, a multi-family benchmark, and randomized Gaussian-mixture training show that the amortized selector consistently and substantially outperforms Silverman's rule, the Sheather--Jones selector, and least-squares cross-validation, with especially large gains in small and heterogeneous samples. Finite Gaussian mixtures provide a generic training mechanism supported by their $L^1$ approximation property. Selectors trained in this way generalize strongly across different density structures, allowing the same trained selector to be applied directly to finite samples from unknown densities without specifying or fitting a distributional family. This combination of broad applicability and strong empirical performance makes the framework attractive for a wide range of applications in which finite samples or ensembles must be converted into continuous probability densities.

核密度估计带宽选择机器学习概率建模

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