Wavelet-based density estimators in Python

This package implements the simple estimator based on average of wavelet functions at sample points, and two shape-preserving based on estimating the square root and then squaring it. The first using a pre-estimator of the square root and the second based on k-nearest neighbours. In all cases, the estimators are for multivariate data on the $[0,1]^d$ cube. If the data is not in that range, one can always rescale.

Simple wavelet estimator

Based on Ḧardle, W., Kerkyacharian, G., Picard, D. and Tsybakov, A., "Wavelets, Approximation and Statistical Applications", Lecture Notes in Statistics, Springer, New York, 1998.

Estimator of square root from pre-estimator

Based on Pinheiro, Vidakovic, "Estimating the square root of a density via compactly supported wavelets", 1997.

Estimator of square root using nearest neighbours

Based on Aya, Geenes, Penev, "Shape-preserving wavelet-based multivariate density estimation", 2017, Journal of Multivariate analysis

$ python -m venv /path/to/env $ source /path/to/env/bin/activate $ python tests/something