Estimating probability densities from short samples: A parametric maximum likelihood approach
- 1 October 1998
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 58 (4) , 5115-5122
- https://doi.org/10.1103/physreve.58.5115
Abstract
A parametric method similar to autoregressive spectral estimators is proposed to determine the probability density function (PDF) of a random set. The method proceeds by maximizing the likelihood of the PDF, yielding estimates that perform equally well in the tails as in the bulk of the distribution. It is therefore well suited for the analysis of short sets drawn from smooth PDF’s and stands out by the simplicity of its computational scheme. Its advantages and limitations are discussed.All Related Versions
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