We produce a positive approximation of a probability density in [0; 1] when only a finite number of values (possibly affected by noise) is available. This approximation is obtained by computing a number of Legendre- Fourier coeffcients and applying the Maximum Entropy method. An example of application of this procedure is data-smoothing in the numerical solution of an identification problem for Fokker-Planck equation.
Fourier-Legendre approximation of a probability density from discrete data
Gabriele Inglese
2003
Abstract
We produce a positive approximation of a probability density in [0; 1] when only a finite number of values (possibly affected by noise) is available. This approximation is obtained by computing a number of Legendre- Fourier coeffcients and applying the Maximum Entropy method. An example of application of this procedure is data-smoothing in the numerical solution of an identification problem for Fokker-Planck equation.File in questo prodotto:
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