Multivariate online kernel density estimation with Gaussian kernels

  • Authors:
  • Matej Kristan;Aleš Leonardis;Danijel Skočaj

  • Affiliations:
  • Faculty of Computer and Information Science, University of Ljubljana, Slovenia and Faculty of Electrical Engineering, University of Ljubljana, Slovenia;Faculty of Computer and Information Science, University of Ljubljana, Slovenia;Faculty of Computer and Information Science, University of Ljubljana, Slovenia

  • Venue:
  • Pattern Recognition
  • Year:
  • 2011

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Abstract

We propose a novel approach to online estimation of probability density functions, which is based on kernel density estimation (KDE). The method maintains and updates a non-parametric model of the observed data, from which the KDE can be calculated. We propose an online bandwidth estimation approach and a compression/revitalization scheme which maintains the KDE's complexity low. We compare the proposed online KDE to the state-of-the-art approaches on examples of estimating stationary and non-stationary distributions, and on examples of classification. The results show that the online KDE outperforms or achieves a comparable performance to the state-of-the-art and produces models with a significantly lower complexity while allowing online adaptation.