A probability density function (PDF) describes the likelihood of different outcomes for a continuous random variable.

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 ...

Probability density function (PDF) Original research An iterative copula method for probability density estimation This paper puts forward a technique with which to reconstruct a probability density ...

We consider the estimation of a probability density function by linear smoothing of the observed density. A basis for estimation is obtained by assuming that the ordinates of the true density function ...

We develop a general method for estimating the implied, martingale equivalent, probability density function (PDF) for futures prices from American options prices. The early exercise feature of ...

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 ...