Probability density estimation from sampled data
- 1 September 1983
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 29 (5) , 696-709
- https://doi.org/10.1109/tit.1983.1056736
Abstract
For broad classes of deterministic and random sampling schemes{t_{k}}we establish the consistency and asymptotic expressions for the bias and covariance of discrete-time estimatesf̂_{n}(x)for the marginal probability density functionf(x)of continuous-time processesX(t). The effect of the sampling scheme and the sampling rate on the performance of the estimates is studied. The results are established for continuous-time processesX(t)satisfying various asymptotic independence-uncorrelatedness conditions.Keywords
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