Improving the Accuracy of the Probability Density Function Estimation
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https://elib.sfu-kras.ru/handle/2311/30130Author:
Dobronets, Boris S.
Popova, Olga A.
Добронец, Борис С.
Попова, Ольга А.
Date:
2016-12Journal Name:
Журнал Сибирского федерального университета. Математика и физика. Journal of Siberian Federal University. Mathematics & Physics;2017 10 (1)Abstract:
The paper considers the new approach to the reconstruction of the probability density function similarly
the averaged shifted histogram method. An algorithm is used Richardson’s extrapolation for increasing
accuracy. We prove the estimates of the accuracy of the probability density function and its second deriva-
tive to choose the optimal settings for smoothing the histogram and kernel estimators and to consider the
optimal choice problem of the bandwidth parameter. Presented the results of numerical experiments В статье рассмотрен новый подход восстановления функции плотности вероятности, анало-
гичный методу осреднения сдвинутых гистограмм. Приведены алгоритмы повышения точности
и вычисления второй производной, основанные на экстраполяции Ричардсона и правиле Рунге.
Представлены среднеквадратичные оценки точности восстановления функции плотности веро-
ятности и ее второй производной. Рассматривается выбор оптимального шага сглаживания.
Представлены результаты численных экспериментов
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