Quantile-respectful density estimation based on the Harrell-Davis quantile estimator

Abstract

Traditional density and quantile estimators are often inconsistent with each other. Their simultaneous usage may lead to inconsistent results. To address this issue, we propose a novel smooth density estimator that is naturally consistent with the Harrell-Davis quantile estimator. We also provide a jittering implementation to support discrete-continuous mixture distributions.

20 pages, 11 figures, the paper source code is available at https://github.com/AndreyAkinshin/paper-qrdehd