A fast algorithm for sparse probability density function construction

A new sparse kernel density estimator is introduced. Our main contribution is to develop a recursive algorithm for the selection of significant kernels one at time using the minimum integrated square error (MISE) criterion for both kernel selection. The proposed approach is simple to implement and the associated computational cost is very low. Numerical examples are employed to demonstrate that the proposed approach is effective in constructing sparse kernel density estimators with competitive accuracy to existing kernel density estimators.