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5. Density estimation by projection
We now give some indications of a global method for estimating f. The principle is to develop f as a series of orthogonal functions and to estimate the coefficients of this development using empirical averages. We begin with an important special case.
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Trigonometric series
On the interval [0,1], the orthonormal system of trigonometric functions is defined by e 0 (x) = 1 and
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Density estimation by projection
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