[SciPy-User] scipy.stats.gaussian_kde ppf?

josef.pktd@gmai... josef.pktd@gmai...
Thu Aug 30 11:15:06 CDT 2012


On Thu, Aug 30, 2012 at 12:41 AM, Serge Rogov <SergeRogov@minifab.com.au> wrote:
> Hi all,
>
>
>
> I need to compute confidence intervals from gaussian_kde, but I found that
> the ppf function is missing. I have implemented my own naïve version that
> precomputes the cdf for the kde and then performs a search for the desired
> probability, but it’s extremely slow and shows a bit of error when compared
> to norm.ppf even at large sample sizes. Has anyone had to do something like
> this before?

I've never seen a ppf for a kde.

gaussian_kde is multivariate, and I don't know if there is a
definition of ppf for multivariate distributions.

My guess is that there is nothing better than 2 rootfinding calls to
find the confidence interval for 1d (maybe with norm.ppf as starting
values if the distribution is approximately normal)

(aside: for distributions with multiple modes the minimum length
confidence region in 1d might be non-overlapping intervals.)

What would be the best to find a confidence region in the multivariate case ?

recipes, example code and/or pull request would be useful for future users.

Josef

>
>
>
> Kind regards,
>
> Serge
>
>
>
>
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