We present a method of approximating an invariant measure of a dynamical system from a finite set of experimental data.
Our reconstruction technique automatically provides us with a partition of phase space, and we assign each set in the partition a certain weight.
By refining the partition, we may make our approximation to an invariant measure of the reconstructed system
as accurate as we wish.
Our method provides us with both a singular and an absolutely continuous approximation, so that the most suitable representation may be chosen for a particular problem.