[工程科技]A MULTIRATE DSP MODEL FOR ESTIMATION OF DISCRETE PROBABILITY DENSITY FUNCTIONS.pdf

A MULTIRATE DSP MODEL FOR ESTIMATION OF DISCRETE PROBABILITY DENSITY FUNCTIONS Byung-Jun Yoon, Student Member, IEEE, and P. P. Vaidyanathan, Fellow, IEEE February 5, 2004 Contact Author: P. P. Vaidyanathan Dept. of Electrical Engineering 136-93, California Institute of Technology, Pasadena, CA 91125, USA. Phone: (626) 395-4681 E-mail: ppvnath@systems.caltech.edu EDICS: 2-MWAV, 2-FILB ABSTRACT The problem of estimating a probability density function from measurements has been widely stud- ied by many researchers. Even though much work has been done in the area of PDF estimation, most of it was focused on the continuous case. In this paper, we propose a new model-based approach for modeling and estimating discrete probability density functions, or probability mass functions. This approach is based on multirate signal processing theory, and it has several advan- tages over the conventional histogram method. We illustrate the PDF estimation procedure and analyze the statistical properties of the PDF estimates. Based on this model, a novel scheme is introduced that can be used for estimating the PDF in the presence of noise. Furthermore, the proposed ideas are extended to the more general case of estimating multivariate probability density functions. Finally, we also consider practical issues such as optimizing the coefficients of a digital filter which is an integral part of the model. This allows us to apply the proposed model to solve real world problems. Simulation results are given where appropriate, in order to demonstrate the ideas. 1 1Work supported in part by the ONR grant N00014-99-1-1002, USA. 1 1 Introduction The problem of estimating a probability d