RE: pdf estimation

[HALL, BENJAMIN PW]

>-----Original Message-----
>From: address@hidden [mailto:address@hidden On Behalf Of >CdeMills
>Sent: Monday, October 03, 2011 1:02 PM
>To: address@hidden
>Subject: pdf estimation
>
>Hello,
>let's define x as x=randn(200,1);
>
>An approximation of x cdf can be obtained as
>plot(sort(x), (0:199)/200);
>
>I tried to estimate the pdf as:
>pp=spline(sort(x), (0:199)/200);
>ppd=ppder(pp);
>x_pdf = ppval(ppd, sort(x))
>
>but the obtained values just exhibit large spikes and nothing usefull can be
>extracted. Is there some way, starting from a random variable, to obtain a
>smooth estimator of its cdf which can lead to an estimator of its pdf ?
>
>Regards
>
>Pascal



The attached might be useful.  This is a quick translation of the R function 
with the options I was interested in at the time.  I'm struggling now to find 
an appropriate reference on the R web site (www.r-project.org) to point you to 
for more information.  I also don't know if there is some pseudo matlab 
equivalent, but I find this function to be handy.

density.m
Description: density.m