A probability density function estimation using F-transform

Title:

A probability density function estimation using F-transform

Creator:

Holčapek, Michal and Tichý, Tomáš

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:b1a558a1-b2ce-44c4-abc7-3351c729fcb1
uuid:b1a558a1-b2ce-44c4-abc7-3351c729fcb1

Subject:

fuzzy transform, probability density function estimation, smoothing filter, and financial returns

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

The aim of this paper is to propose a new approach to probability density function (PDF) estimation which is based on the fuzzy transform (F-transform) introduced by Perfilieva in \cite{Perfilieva:FSS06}. Firstly, a smoothing filter based on the combination of the discrete direct and continuous inverse F-transform is introduced and some of the basic properties are investigated. Next, an alternative approach to PDF estimation based on the proposed smoothing filter is established and compared with the most used method of Parzen windows. Such an approach can be of a great value mainly when dealing with financial data, i. e. large samples of observations.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[447]-458

Source:

Kybernetika | 2010 Volume:46 | Number:3

Harvested from:

CDK

Metadata only:

false