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Efficient Direct Density Ratio Estimation for Non-stationarity Adaptation and Outlier Detection
Takafumi Kanamori · Shohei Hido · Masashi Sugiyama

Mon Dec 08 08:45 PM -- 12:00 AM (PST) @

We address the problem of estimating the ratio of two probability density functions (a.k.a.~the importance). The importance values can be used for various succeeding tasks such as non-stationarity adaptation or outlier detection. In this paper, we propose a new importance estimation method that has a closed-form solution; the leave-one-out cross-validation score can also be computed analytically. Therefore, the proposed method is computationally very efficient and numerically stable. We also elucidate theoretical properties of the proposed method such as the convergence rate and approximation error bound. Numerical experiments show that the proposed method is comparable to the best existing method in accuracy, while it is computationally more efficient than competing approaches.

Author Information

Takafumi Kanamori (Nagoya University)
Shohei Hido (IBM Research)
Masashi Sugiyama (RIKEN / University of Tokyo)

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