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A filtered polynomial approach to density estimation

Heinzmann, D (2008). A filtered polynomial approach to density estimation. Computational Statistics, 23(3):343-360.

Abstract

In this paper, a little known computational approach to density estimation based on filtered polynomial approximation is investigated. It is accompanied by the first online available density estimation computer program based on a filtered polynomial approach. The approximation yields the unknown distribution and density as the product of a monotonic increasing polynomial and a filter. The filter may be considered as a target distribution which gets fixed prior to the estimation. The filtered polynomial approach then provides coefficient estimates for (close) algebraic approximations to (a) the unknown density function and (b) the unknown cumulative distribution function as well as (c) a transformation (e.g., normalization) from the unknown data distribution to the filter. This approach provides a high degree of smoothness in its estimates for univariate as well as for multivariate settings. The nice properties as the high degree of smoothness and the ability to select from different target distributions are suited especially in MCMC simulations. Two applications in Sects. 1 and 7 will show the advantages of the filtered polynomial approach over the commonly used kernel estimation method.

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Physical Sciences > Computational Mathematics
Language:English
Date:2008
Deposited On:14 Jan 2009 13:56
Last Modified:01 May 2025 01:42
Publisher:Springer
ISSN:0943-4062
Additional Information:The original publication is available at www.springerlink.com
OA Status:Green
Publisher DOI:https://doi.org/10.1007/s00180-007-0070-z
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