Density estimation using game theory

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URI: https://hdl.handle.net/10347/38560
DOI: 10.1007/s001860400349

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2004-01-01

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Springer
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Abstract

In this note we show that the mathematical tools of cooperative game theory allow a successful approach to the statistical problem of estimating a density function. Specifically, any random sample of an absolutely continuous random variable determines a transferable utility game, the Shapley value of which proves to be an estimator of the density function of binned kernel and WARPing types, with good computational and statistical properties.

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This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/s001860400349

Keywords

Cooperative Games| Density Estimation| Shapley Value

Bibliographic citation

García-Jurado, I., Méndez-Naya, L. & Sánchez-Sellero, C. Density estimation using game theory. Math Meth Oper Res 59, 349–357 (2004). https://doi.org/10.1007/s001860400349

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Authors acknowledge the financial support of Spanish Ministry for Science and Technology and FEDER through projects BFM2002-03213 and BEC2002-04102-C02-02 and of Xunta de Galicia through projects PGIDT00PXI20104PR and PGIDT03PXIC20701PN.

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Attribution-NonCommercial-NoDerivatives 4.0 International

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Economía Cuantitativa