Abstract:
Sample- and computationally-efficient distribution estimation is a fundamental tenet in statistics and machine learning. We present , an algorithm for approximating distributions by piecewise polynomials. is:
simple, replacing prior complex optimization techniques by straight-forward empirical probability approximation of each potential polynomial piece through simple empirical-probability interpolation, and using plain divide-and-conquer to merge the pieces; universal, as well-known polynomial-approximation results imply that it accurately approximates a large class of common distributions;
robust to distribution mis-specification as for any degree , it estimates any distribution to an distance times that of the nearest degree- piecewise polynomial, improving known factor upper bounds of 3 for single polynomials and 15 for polynomials with arbitrarily many pieces;
fast, using optimal sample complexity, running in near sample-linear time, and if given sorted samples it may be parallelized to run in sub-linear time.
In experiments, outperforms state-of-the art algorithms.
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