Tensor Density Estimator by Convolution-Deconvolution

Abstract

We propose a linear algebraic framework for performing density estimation. It consists of three simple steps: convolving the empirical distribution with certain smoothing kernels to remove the exponentially large variance; compressing the empirical distribution after convolution as a tensor train, with efficient tensor decomposition algorithms; and finally, applying a deconvolution step to recover the estimated density from such tensor-train representation. Numerical results demonstrate the high accuracy and efficiency of the proposed methods.