OCDE: Odds Conditional Density Estimator
Abstract
Conditional density estimation (CDE) models can be useful for many statistical applications, especially because the full conditional density is estimated instead of traditional regression point estimates, revealing more information about the uncertainty of the random variable of interest. In this paper, we propose a new methodology called Odds Conditional Density Estimator (OCDE) to estimate conditional densities in a supervised learning scheme. The main idea is that it is very difficult to estimate and in order to estimate the conditional density , but by introducing an instrumental distribution, we transform the CDE problem into a problem of odds estimation, or similarly, training a binary probabilistic classifier. We demonstrate how OCDE works using simulated data and then test its performance against other known state-of-the-art CDE methods in real data. Overall, OCDE is competitive compared with these methods in real datasets.
Keywords
Cite
@article{arxiv.2107.04118,
title = {OCDE: Odds Conditional Density Estimator},
author = {Alex Akira Okuno and Felipe Maia Polo},
journal= {arXiv preprint arXiv:2107.04118},
year = {2021}
}