A projection pursuit estimator for density ratios, built from products of univariate functions of linear projections, is shown to be consistent with convergence rates and to outperform baselines in several applications.
Finally, under Assumption F.3, we have (48)=๐๐( โ๏ธ ๐ฝ๐/๐๐)
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Projection Pursuit Density Ratio Estimation
A projection pursuit estimator for density ratios, built from products of univariate functions of linear projections, is shown to be consistent with convergence rates and to outperform baselines in several applications.