For KernelEstimator.jl, it currently only supports 1D KDEs. My use case requires 2D.
KernelEstimator.jl does support multivariate kernel density estimate and multivariate local constants regression.
The only issue is the bandwidth selection for multivariate kernel density. The user are responsible to choose the right bandwidth. The default bandwidth is chosen via likelihood cross validation which has some known disadvantages. I don’t have good solution yet. Comments and pull requests are welcome.
Regression and univariate kde do not suffer this problem. Their bandwidth are chosen by least squares cross validation.