Get conditional kernel densities in julia

Specific Domains Probabilistic programming
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1

Hello,

I was wondering if there is a method to get a conditional distribution out of a multivariate kde in julia, preferably using the package KernelDensityEstimate.jl.

So say for example that I have the following code:

using KernelDensityEstimate, Distributions

# define number of samples
const n_samples = 500

# define two correlated variables
const x = randn(n_samples)
const y = x.^2 .+ rand(Uniform(-0.0005, 0.0005), n_samples) 

# and an uncorrelated one
const z = rand(Gamma(), n_samples);

# fit the kde
kde = kde!(Array((hcat(x,y,z)')))

And I would like to get the distribution of x and y conditioned to, say, z = 10.0.

It would be ok for me if the solution uses a multivariate KDEs package different from KernelDensityEstimate.jl, as long as it implements a rand function.

Thank you very much

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