Projection Pursuit Density Ratio Estimation

• URL: http://arxiv.org/abs/2506.00866v1
• Date: Sun, 01 Jun 2025 07:15:07 GMT
• Title: Projection Pursuit Density Ratio Estimation
• Authors: Meilin Wang, Wei Huang, Mingming Gong, Zheng Zhang,
• Abstract summary: Density ratio estimation (DRE) is a paramount task in machine learning, for its broad applications across multiple domains.<n>Parametric methods for estimating the density ratio possibly lead to biased results if models are misspecified.<n>Conventional non-parametric methods suffer from the curse of dimensionality when the dimension of data is large.<n>We propose a novel approach for DRE based on the projection pursuit approximation.
• Score: 44.71752951218575
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Density ratio estimation (DRE) is a paramount task in machine learning, for its broad applications across multiple domains, such as covariate shift adaptation, causal inference, independence tests and beyond. Parametric methods for estimating the density ratio possibly lead to biased results if models are misspecified, while conventional non-parametric methods suffer from the curse of dimensionality when the dimension of data is large. To address these challenges, in this paper, we propose a novel approach for DRE based on the projection pursuit (PP) approximation. The proposed method leverages PP to mitigate the impact of high dimensionality while retaining the model flexibility needed for the accuracy of DRE. We establish the consistency and the convergence rate for the proposed estimator. Experimental results demonstrate that our proposed method outperforms existing alternatives in various applications.

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