Modal-set estimation with an application to clustering

We present a first procedure that can estimate -- with statistical consistency guarantees -- any local-maxima of a density, under benign distributional conditions. The procedure estimates all such local maxima, or textitmodal-sets, of any bounded shape or dimension, including usual point-modes. In practice, modal-sets can arise as dense low-dimensional structures in noisy data, and more generally serve to better model the rich variety of locally-high-density structures in data. The procedure is then shown to be competitive on clustering applications, and moreover is quite stable to a wide range of settings of its tuning parameter.