Abstract
A method based upon Pearson-type approximations from statistics is developed for approximating a symmetric probability density function from its moments. The extended Fokker-Planck equation for non-Markov processes is shown to be the underlying foundation for the approximations. The approximation is shown to be exact for the beta probability density function. The applicability of the general method is illustrated by numerous pithy examples from linear and nonlinear filtering of both Markov and non-Markov dichotomous noise. New approximations are given for the probability density function in two cases in which exact solutions are unavailable, those of (i) the filter-limiter-filter problem and (ii) second-order Butterworth filtering of the random telegraph signal. The approximate results are compared with previously published Monte Carlo simulations in these two cases.
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