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Orthogonal Polynomial Density Estimates: Alternative Representation and Degree Selection

Authors: Serge B. Provost, Min Jiang


The density estimates considered in this paper comprise a base density and an adjustment component consisting of a linear combination of orthogonal polynomials. It is shown that, in the context of density approximation, the coefficients of the linear combination can be determined either from a moment-matching technique or a weighted least-squares approach. A kernel representation of the corresponding density estimates is obtained. Additionally, two refinements of the Kronmal-Tarter stopping criterion are proposed for determining the degree of the polynomial adjustment. By way of illustration, the density estimation methodology advocated herein is applied to two data sets.

Keywords: orthogonal polynomials, kernel density estimation, moment-based methodologies, density approximation

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