Efficient and Robust Density Estimation Using Bernstein Type Polynomials

Method of parameterizing and smoothing the unknown underling distributions using Bernstein polynomials is proposed, verified and investigated. Any distribution with bounded and smooth enough density can be approximated by the proposed model. The approximating model turns out to be a mixture of beta distributions beta$(i+1, m-i+1)$, $i=0,\ldots, m$, for some optimal degree $m$. A simple change-point estimating method for choosing optimal degree $m$ of the Bernstein polynomials is also presented. The proposed methods give maximum likelihood density estimate which is consistent in $L_2$ distance at an almost parametric rate under some conditions. Simulation study shows that one can benefit from both the smoothness and the accuracy by using the proposed method. The proposed model can also be used to estimate some functional of the unknown distribution such as population mean. As illustration, the proposed methods are applied to three different type data sets including a microarray data set.

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