Nonparametric Probability Density Estimation via Interpolation Filtering

作者：Carbone Paolo^*; Petri Dario; Barbe Kurt

来源：IEEE Transactions on Instrumentation and Measurement, 2017, 66(4): 681-690.

DOI：10.1109/TIM.2017.2657398

• Estimation
• interpolation
• probability density function
• probability distribution
• quantization

In this paper, we discuss nonparametric estimation of the probability density PDF) of a univariate random variable. This problem has been the subject of a vast amount of scientific literature in many domains, while statisticians are mainly interested in the analysis of the properties of proposed estimators, and engineers treat the histogram as a ready-to-use tool for a data set analysis. By considering histogram data as a numerical sequence, a simple approach for PDF estimation is presented in this paper. It is based on basic notions related to the reconstruction of a continuous-time signal from a sequence of samples. When estimating continuous PDFs, it is shown that the proposed approach is as accurate as kernel-based estimators, widely adopted in the statistical literature. Conversely, it can provide better accuracy when the PDF to be estimated exhibits a discontinuous behavior. The main statistical properties of the proposed estimators are derived and then verified by simulations related to the common cases of normal and uniform density functions. The obtained results are also used to derive optimal, i.e., minimum integral of the mean square error, estimators.

• 出版日期2017-4
• 单位Perugia