Reference

Robust kernel density estimation, JooSeuk Kim, Clayton D. Scott. The Journal of Machine Learning Research(2012)

Abstract

We propose a method for nonparametric density estimation that exhibits robustness to contamination of the training sample. This method achieves robustness by combining a traditional kernel density estimator (KDE) with ideas from classical M-estimation. We interpret the KDE based on a positive semi-definite kernel as a sample mean in the associated reproducing kernel Hilbert space. Since the sample mean is sensitive to outliers, we estimate it robustly via M-estimation, yielding a robust kernel density estimator (RKDE). An RKDE can be computed efficiently via a kernelized iteratively re-weighted least squares (IRWLS) algorithm. Necessary and sufficient conditions are given for kernelized IRWLS to converge to the global minimizer of the M-estimator objective function. The robustness of the RKDE is demonstrated with a representer theorem, the influence function, and experimental results for density estimation and anomaly detection.