[SciPy-user] Kernel density approximation

Gael Varoquaux gael.varoquaux@normalesup....
Mon Nov 5 12:45:13 CST 2007


Hi,

What is the recommended way to compute a kernel density approximation of
a probability distribution function given a sample data ? My problem is
two dimensional, each data element is made of a pair of numbers.

I currently use an histogram2d, but I would like to use a smooth kernel,
such as a gaussian, and most important, I would like the algorithm to do
the work for me as far as choosing the bandwidth :->.

And I forgot to say that the function should be fast, as it is used in a
Monte Carlo algorithm, and is called many times.

Yes, I know, I want the Moon, on a stick, please :->.

Thanks,

Gaël


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