title: A maximum likelihood approach to density estimation with semidefinite programming.
abstract: Density estimation plays an important and fundamental role in pattern recognition, machine learning, and statistics. In this article, we develop a parametric approach to univariate (or low-dimensional) density estimation based on semidefinite programming (SDP). Our density model is expressed as the product of a nonnegative polynomial and a base density such as normal distribution, exponential distribution, and uniform distribution. When the base density is specified, the maximum likelihood estimation of the polynomial is formulated as a variant of SDP that is solved in polynomial time with the interior point methods. Since the base density typically contains just one or two parameters, computation of the maximum likelihood estimate reduces to a one- or two-dimensional easy optimization problem with this use of SDP. Thus, the rigorous maximum likelihood estimate can be computed in our approach. Furthermore, such conditions as symmetry and unimodality of the density function can be easily handled within this framework. AIC is used to choose the best model. Through applications to several instances, we demonstrate flexibility of the model and performance of the proposed procedure. Combination with a mixture approach is also presented. The proposed approach has possible other applications beyond density estimation. This point is clarified through an application to the maximum likelihood estimation of the intensity function of a nonstationary Poisson process.
authors.affiliation: Institute of Statistical Mathematics, Minato-ku, Tokyo 106-8569, Japan. fushiki@ism.ac.jp
authors.forename: Tadayoshi
authors.initials: T
authors.lastname: Fushiki
authors.forename: Shingo
authors.initials: S
authors.lastname: Horiuchi
authors.forename: Takashi
authors.initials: T
authors.lastname: Tsuchiya
mesh_terms: D003627:Data Interpretation, Statistical; D006801:Humans; D016013:Likelihood Functions; D015233:Models, Statistical; D009716:Numerical Analysis, Computer-Assisted; D010363:Pattern Recognition, Automated / Q000379:methods*