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Efficient evaluation of the pdf of a random variable through the kernel density maximum entropy approach
Author(s) -
Alibrandi U.,
Ricciardi G.
Publication year - 2008
Publication title -
international journal for numerical methods in engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.421
H-Index - 168
eISSN - 1097-0207
pISSN - 0029-5981
DOI - 10.1002/nme.2300
Subject(s) - principle of maximum entropy , mathematics , probability density function , gumbel distribution , kernel density estimation , random variable , maximum entropy spectral estimation , entropy (arrow of time) , probability distribution , kernel (algebra) , moment (physics) , moment generating function , sequence (biology) , maximum entropy probability distribution , mathematical optimization , algorithm , extreme value theory , statistics , combinatorics , physics , classical mechanics , quantum mechanics , estimator , biology , genetics
In this paper, a new approach for the evaluation of the probability density function (pdf) of a random variable from the knowledge of its lower moments is presented. At first the classical moment problem (MP) is revisited, which gives the conditions such that the assigned sequence of sample moments represent really a sequence of moments of any distribution. Then an alternative approach is presented, termed as the kernel density maximum entropy (MaxEnt) method by the authors, which approximates the target pdf as a convex linear combination of kernel densities, transforming the original MP into a discrete MP, which is solved through a MaxEnt approach. In this way, simply solving a discrete MaxEnt problem, not requiring the evaluation of numerical integrals, an approximating pdf converging toward the MaxEnt pdf is obtained. The method is first demonstrated by approximating some known analytical pdfs (the chi‐square and the Gumbel pdfs) and then it is applied to some experimental engineering problems, namely for modelling the pdf of concrete strength, the circular frequency and the damping ratio of strong ground motions, the extreme wind speed in Messina's Strait region. All the developed numerical applications show the goodness and efficacy of the proposed procedure. Copyright © 2008 John Wiley & Sons, Ltd.