Best Probability Density Function for Random Sampled Data

Entropy

关键词: maximum entropy method;    probability density function;    Lagrange multipliers;    level-function moments;    least squares error;    adaptive simulated annealing;    smoothing noise;   

DOI  :  10.3390/e11041001

来源: mdpi

【 摘 要 】

The maximum entropy method is a theoretically sound approach to construct an analytical form for the probability density function (pdf) given a sample of random events. In practice, numerical methods employed to determine the appropriate Lagrange multipliers associated with a set of moments are generally unstable in the presence of noise due to limited sampling. A robust method is presented that always returns the best pdf, where tradeoff in smoothing a highly varying function due to noise can be controlled. An unconventional adaptive simulated annealing technique, called funnel diffusion, determines expansion coefficients for Chebyshev polynomials in the exponential function.

【 授权许可】

CC BY   
© 2009 by the authors; licensee Molecular Diversity Preservation International, Basel, Switzerland.