Maximum a posteriori density estimation and the sparse grid combination technique

Matthias Wong, Markus Hegland


We study a novel method for maximum a posteriori (MAP) estimation of the probability density function of an arbitrary, independent and identically distributed \(d\)-dimensional data set. We give an interpretation of the MAP algorithm in terms of regularised maximum likelihood. We also present numerical experiments using a sparse grid combination technique and the `opticom' method. The numerical results demonstrate the viability of parallelisation for the combination technique.

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