Monte Carlo Method for Reconstruction of Densities

2000 Mathematics Subject Classification: 65C05

The present paper considers the problem how to construct the unknown density having N realizations of the random variable using B-splines approximation, least squares method and Monte Carlo method. It is shown that B-splines are appropriate for density modeling. The results from approximation of an unknown density distribution for the considered algorithm are compared with some non-parametric statistical methods such as histogram and kernel density estimation. A large number of numerical experiments are made using Matlab 6.