Let $p$ be an unknown and arbitrary probability distribution over $[0,1)$. We consider the problem of \emph{density estimation}, in which a learning algorithm is given i.i.d. draws from $p$ and must (with high probability) output a hypothesis distribution that is close to $p$. The main contribution of this paper is a highly efficient density estimation algorithm for learning using a variable-width histogram, i.e., a hypothesis distribution with a piecewise constant probability density function.
In more detail, for any $k$ and $\eps$, we give an algorithm that makes $\tilde{O}(k/\eps^2)$ draws from $p$, runs in $\tilde{O}(k/\eps^2)$ time, and outputs a hypothesis distribution $h$ that is piecewise constant with $O(k \log^2(1/\eps))$ pieces. With high probability the hypothesis $h$ satisfies $\dtv(p,h) \leq C \cdot \opt_k(p) + \eps$, where $\dtv$ denotes the total variation distance (statistical distance), $C$ is a universal constant, and $\opt_k(p)$ is the smallest total variation distance between $p$ and any $k$-piecewise constant distribution. The sample size and running time of our algorithm are optimal up to logarithmic factors. The ``approximation factor'' $C$ in our result is inherent in the problem, as we prove that no algorithm with sample size bounded in terms of $k$ and $\eps$ can achieve C < 2
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