A non-Bayesian derivation of the predictive estimate of a multivariate normal density function is given. The estimate is obtained as best invariant estimate in terms of a goodness-of-fit criterion ...

This note discusses some aspects of the estimation of the density function of a univariate probability distribution. All estimates of the density function satisfying relatively mild conditions are ...

We propose a method for reconstructing a probability density function (pdf) from a sample of an n-dimensional probability distribution. The method works by iteratively applying some simple ...

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for ...