Density Estimation via Bayesian Inference Engines

M. P. Wand, J. F. C. Yu

Published 2020-09-14Version 1

We explain how effective automatic probability density function estimates can be constructed using contemporary Bayesian inference engines such as those based on no-U-turn sampling and expectation propagation. Extensive simulation studies demonstrate that the proposed density estimates have excellent comparative performance and scale well to very large sample sizes due a binning strategy. Moreover, the approach is fully Bayesian and all estimates are accompanied by pointwise credible intervals. An accompanying package in the R language facilitates easy use of the new density estimates.