Preprint announcement: 'Quantile-Respectful Density Estimation Based on the Harrell-Davis Quantile Estimator'

I have just published a preprint of a paper ‘Quantile-Respectful Density Estimation Based on the Harrell-Davis Quantile Estimator’. It is based on a series of my research notes.

The paper preprint is available on arXiv: arXiv:2404.03835 [stat.ME]. The paper source code is available on GitHub: AndreyAkinshin/paper-qrdehd. You can cite it as follows:

• Andrey Akinshin (2024) “Quantile-Respectful Density Estimation Based on the Harrell-Davis Quantile Estimator” arXiv:2404.03835

Abstract:

Traditional density and quantile estimators are often inconsistent with each other. Their simultaneous usage may lead to inconsistent results. To address this issue, we propose a novel smooth density estimator that is naturally consistent with the Harrell-Davis quantile estimator. We also provide a jittering implementation to support discrete-continuous mixture distributions.

Relevant blog posts

Here is the full list of the relevant blog posts:

• Quantile-respectful density estimation based on the Harrell-Davis quantile estimator (2020-10-27)
• Improving quantile-respectful density estimation for discrete distributions using jittering (2021-04-27)
• Quantile-Respectful Density Estimation and Trimming (2024-03-26)
• Preprint announcement: 'Quantile-Respectful Density Estimation Based on the Harrell-Davis Quantile Estimator' (2024-04-09)

BibTeX reference

@article{akinshin2024qrdehd,
  title = {Quantile-respectful density estimation based on the Harrell-Davis quantile estimator},
  author = {Akinshin, Andrey},
  year = {2024},
  month = {4},
  publisher = {arXiv},
  doi = {10.48550/arXiv.2404.03835},
  url = {https://arxiv.org/abs/2404.03835}
}