From a sample of data I can create a KDE to estimate the probability density with KernelDensity.jl , e.g.: density_estimator = kde(data) Now, is there any package or custom code that I could use to retrieve a sample from a distribution with such a density, e.g. something that allows me to do rand(x…

I do not know of an implementation, but you can write your own with few lines. Assuming a 1-D normal kernel density estimator, to get one sample you need to: pick a data point x, using for instance with something like x = sample(data) get the kernel bandwith h, be it the Silverman optimal bandwit…

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konkam November 25, 2020, 3:59pm 4

You are quite right, that “beware of the parametrisation” here is pretty ironic given I used a wrong parametrisation one line above

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