The properties of the empirical density function,fn(x) = k/n(ξj+ − ξj-1+) ifξj-1+ < x ≤ ξ+ whereξj-1+ andξj+ are sample elements and there are exactlyk − 1 sample elements between them, are studied in that practical point of view how to choose a suitablek for a “good” estimation. A bound is given for the expected value of the absolute value of difference between the empirical and theoretical density functions.
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