4. Density estimation

4.1 Classical statistical methods

Recall that density estimation is the very essence of classical statistical analysis: we start with a large number of samples x ₁ ,...,x _N and investigate which probability distribution these samples correspond to.

Two types of density estimation methods can be distinguished in the low-dimensional field: parametric and non-parametric.

With parametric methods, we think we know in advance the general structure of the density function p _θ (x) we're looking for, but this function depends on a certain number of parameters θ, and we try to fix the value of these parameters...