Random irregular histograms
Abstract
We propose a new method of histogram construction, providing a fully Bayesian approach to irregular histograms. Our procedure applies Bayesian model selection to a piecewise constant model of the underlying distribution, resulting in a method that selects both the number of bins as well as their location based on the data in a fully automatic fashion. We show that the histogram estimate is consistent with respect to the Hellinger metric under mild regularity conditions, and that it attains a convergence rate equal to the minimax rate (up to a logarithmic factor) for H\"{o}lder continuous densities. Simulation studies indicate that the new method performs comparably to other histogram procedures, both for minimizing the estimation error and for identifying modes. A software implementation is included as supplementary material.
Cite
@article{arxiv.2505.22034,
title = {Random irregular histograms},
author = {Oskar Høgberg Simensen and Dennis Christensen and Nils Lid Hjort},
journal= {arXiv preprint arXiv:2505.22034},
year = {2026}
}