[R] density estimation

From: Hui Han <huihan_at_yahoo-inc.com>
Date: Wed 11 May 2005 - 15:10:11 EST

Hi,

I have been looking for a method of estimating a parametric model from the output (x, y) from the R function "density". Below is my thought and wonder if it looks OK. Suppose that we build a single gaussian model for each input data point x (x is the mean), the overal model may be a sum of these gaussian models built on each x, i.e. P(y) = \sum_x P(y|x, \sigma), where y is any new data point. Is this right? Any normalization is applied?

Thanks in advance for any suggestion that you may offer me!

Best regards,
Hui



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