[ANN] MultiKDE.jl: A Lazy Evaluation Multivariate Kernel Density Estimator

I realized currently there is no library for multivariate kernel density estimation (unless you extend some existing code). And I need it for one of my projects. So here it is: MultiKDE.jl.

Unique feature:

  1. Multidimension: Using unnormalized generalization product kernel to estimate multi-dimensional kernel density (refers statsmodels).
  2. Lazy evaluation: Doesn’t pre-initialize a KDE, only evaluate points when necessary.
  3. Categorical distribution: This library supports categorical KDE using two specific kernel functions, both ordered-categorical (age, amount…) and unordered-categorical (sex, face of the coin…). When using unordered-categorical, non-numeric objects are also supported.

Example:

2d KDE:

2d KDE visualization

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Check out this post for more details and reasons for development.

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Great! Thanks for creating this.

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