A filtered polynomial approach to density estimation (Q626213)
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scientific article; zbMATH DE number 5855589
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A filtered polynomial approach to density estimation |
scientific article; zbMATH DE number 5855589 |
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A filtered polynomial approach to density estimation (English)
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22 February 2011
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Density estimation is considered, based on the representation \(f(x)=h(t(x))t'(x)\), where \(h\) is some fixed density, and \(t(x)\) is a monotonically increasing transformation. The transformation \(t\) is approximated by a monotonic polynomial. A maximum likelihood approach is used to fit the model to the data. An algorithm for the estimation is described which uses a special representation of monotone polynomials and a modified Newton-Raphson method of minimization. Applications to real life data sets are presented.
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maximum likelihood estimation
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monotone polynomials
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Newton-Raphson algorithm
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