Locally Weighted Full Covariance Gaussian Density Estimation

We describe an interesting application of the principle of local learning to density estimation. Locally weighted fitting of a Gaussian with a regularized full covariance matrix yields a density estimator which displays improved behavior in the case where much of the probability mass is concentrated along a low dimensional manifold. While the proposed estimator is not guaranteed to integrate to 1 with a finite sample size, we prove asymptotic convergence to the true density. Experimental results illustrating the advan- tages of this estimator over classic non-parametric estimators are presented.