QQ-plot based probability density function estimation

We present a new algorithm for the estimation of probability density functions (PDF). This founds a large number of applications in the context of statistical signal processing problems, such as detection, estimation, filtering or pattern recognition and classification. Our approach relies on the QQ-plot technique. The estimates of the first and second order statistics of the observed random data are used together with a suboptimal piecewise linear approximation of the QQ-plot, yielding a new class of PDF estimator. We describe the algorithm and test it in comparison with other techniques, showing that our approach provides better results.