Density estimation by quadratic programming, as proposed by Wager (2014).
To install this package in R, run the following commands:
library(devtools)
install_github("swager/nlpden")
Example usage:
library(nlpden)
# Make some data...
mu = c(runif(1000, min = -3, max = 3), rep(0, 1000))
X = mu + rnorm(2000)
# Run nlpden
f.hat = nlpden(X)
plot(f.hat, type = "l")
Stefan Wager. A Geometric Approach to Density Estimation with Additive Noise. Statistica Sinica, 24(2), 2014.