Fitting a Multi-modal Density by Dynamic Programming
Ery Arias-Castro, He Jiang · arXiv (Cornell University) · 2022
We consider the problem of fitting a probability density function when it is constrained to have a given number of modal intervals. We propose a dynamic programming approach to solving this problem numerically. When this number is not known, we provide several data-driven ways for selecting it. We perform some numerical experiments to illustrate our methodology.