A Parametric Bayesian Approach in Density Ratio Estimation

Abstract

This paper considers estimating the ratio of two distributions with different parameters and common supports.
 We consider a Bayesian approach based on the Log--Huber loss function which is resistant to outliers and useful to find robust M-estimators. We propose two different types of Bayesian density ratio estimators and compare their performance in terms of Bayesian risk function with themselves as well as the usual plug-in density ratio estimators. Some applications such as classification and divergence function estimation are addressed.