[SciPy-Dev] Expanding Scipy's KDE functionality
Fri Jan 25 07:45:46 CST 2013
On 24.01.2013 20:13, firstname.lastname@example.org wrote:
> Besides the boundary problem in bounded domains, there is also the
> problem with unbounded domains, that the tails might not be well
> captured by a kde, especially with heavier tails.
Information is always lost by smoothing.
One can always use a delta function as kernel though. It retains all the
information we have about the sampled distribution.
For unbounded domains the KDE can be seen as a censored data problem.
One can estimate the invisible boundaries by computing BIC or MML (or by
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