| Title:
|
A probability density function estimation using F-transform (English) |
| Author:
|
Holčapek, Michal |
| Author:
|
Tichý, Tomaš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
46 |
| Issue:
|
3 |
| Year:
|
2010 |
| Pages:
|
447-458 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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 [10]. 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. (English) |
| Keyword:
|
fuzzy transform |
| Keyword:
|
probability density function estimation |
| Keyword:
|
smoothing filter |
| Keyword:
|
financial returns |
| MSC:
|
60E99 |
| MSC:
|
62G07 |
| MSC:
|
62G86 |
| MSC:
|
91G80 |
| idZBL:
|
Zbl 1194.62030 |
| idMR:
|
MR2676082 |
| . |
| Date available:
|
2010-09-13T16:53:34Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/140760 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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[9] Parzen, E.: On estimation of a probabilty density function and mode.Ann. Math. Statist. 33 (1962), 1065–1076. MR 0143282, 10.1214/aoms/1177704472 |
| Reference:
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[10] Perfilieva, I.: Fuzzy transforms: Theory and applications.Fuzzy Sets and Systems 157 (2006), 8, 993–1023. Zbl 1092.41022, MR 2218243 |
| Reference:
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| Reference:
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| . |
