2024/03/11 by Yinsong Wang, Yu Ding, Wang, Yinsong +3
Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML)
paper · pdf · doi:10.48550/arxiv.2403.07207
openalex publication_date 2024/03/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Dynamic density estimation is ubiquitous in many applications, including computer vision and signal processing. One popular method to tackle this problem is the "sliding window" kernel density estimator. There exist various implementations of this method that use heuristically defined weight sequences for the observed data. The weight sequence, however, is a key aspect of the estimator affecting the tracking performance significantly. In this work, we study the exact mean integrated squared error (MISE) of "sliding window" Gaussian Kernel Density Estimators for evolving Gaussian densities. We provide a principled guide for choosing the optimal weight sequence by theoretically characterizing the exact MISE, which can be formulated as constrained quadratic programming. We present empirical evidence with synthetic datasets to show that our weighting scheme indeed improves the tracking performance compared to heuristic approaches.