kde.eval: Multivariate kernel density estimation based on Gaussian...

In HaotianXu/changepoints: A Collection of Change-Point Detection Methods

Multivariate kernel density estimation based on Gaussian kernel.

Description

Perform multivariate kernel density estimation and evaluated the estimated densities at specified points.

Usage

kde.eval(x, H, eval.points)

Arguments

x	A numeric matrix of observations with horizontal axis being dimension, and vertical axis being time.
H	A numeric (symmetric and positive definite) matrix of bandwidth parameters.
eval.points	A numeric matrix of evaluated data points with horizontal axis being dimension, and vertical axis being time..

Value

A numeric vector of evaluated densities.

Author(s)

Haotian Xu

Examples

n = 100
p = 10
x = matrix(rnorm(n*p), nrow = n)
h = 2*(1/n)^{1/(4+p)} # bandwith
kde.eval(x, h*diag(p), x)

HaotianXu/changepoints documentation built on Oct. 11, 2023, 12:48 p.m.