Adaptive Kernel Density Estimation with Pre-training

Density estimation underlies many unsupervised tasks on tabular data such as anomaly detection, out-of-distribution detection, and data augmentation. Although all these problems reduce to questions about where probability mass lies, they are typically solved individually by fitting a separate model to each dataset, with its own hyperparameters and tuning budget. We introduce ICED, an in-context, energy-based density estimator that removes this per-dataset cost. ICED is a transformer-based model pretrained once on a synthetic prior built specifically for density estimation under an objective that fits log-density where it is informative and preserves its ordering elsewhere. In the inference, it reads a dataset as context and returns an unnormalized log-density for any query point in a single forward pass, with no fitting, sampling, or hyperparameter selection. A single frozen ICED model then drives four tasks usually handled by four specialized pipelines: density estimation, out-of-distribution detection, unsupervised anomaly detection, and generative augmentation. Across all four, it is competitive with the strongest task-specific method, while being the only approach that needs no retraining, no tuning, and no labels to move between them. The code is available at https://github.com/gmum/iced.

Minimax-optimal rates for multivariate distribution estimation are known to suffer from the curse of dimensionality. We propose a sparse Bayesian network approach in which each conditional probability is estimated using sparsity-aware conditional mean methods. The resulting estimator, \textit{BAyesian Network Distribution regression} (BAND), handles mixed data types in high-dimensional time series and achieves polynomial total variation convergence rates while allowing the feature dimension to grow polynomially with the sample size. These rates are substantially faster than the classical optimal rates for multivariate histogram density estimators that lack sparsity. Empirical evaluations show that BAND performs competitively for data sampling and confidence region forecasting against a range of state-of-the-art benchmarks.

We study counterfactual distribution learning for high-dimensional outcomes whose counterfactual law may concentrate near lower-dimensional structure. Standard isotropic smoothing treats all ambient directions equally, leading to unfavorable scaling and unstable local inference. We propose two diffusion-guided estimators based on semiparametric debiasing: diffusion-informed smoothing for counterfactual densities and diffusion-informed score smoothing for counterfactual scores. The estimators combine causal nuisance adjustment with geometry-adaptive localization driven by diffusion score information, removing first-order nuisance bias while aligning smoothing with local outcome geometry. We establish asymptotic expansions, risk bounds, and inference procedures for smoothed density and score-based targets, with ambient density inference obtained under additional approximation conditions. Under structural geometry conditions, the leading stochastic error is governed by an effective dimension induced by the diffusion-guided kernel, rather than by the ambient dimension. Semi-synthetic experiments based on CelebA show steeper error decay for geometry-adaptive methods, supporting the proposed effective-dimension theory.