[SciPy-User] scipy.stats.gaussian_kde ppf?
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.
> Kind regards,
> SciPy-User mailing list
More information about the SciPy-User