[mlpack] Implementation of matlab ksdensity function

[Ryan Curtin]

On Tue, Feb 13, 2018 at 01:30:42PM +0000, Angelo DI SENA wrote:
> Hi
> 
> I'm trying to "translate" a complex matlab script in C++ using armadillo.
> I implemented some functions that are not present in armadillo, but I'm currently blocked with ksdensity
> In particular I need to use ksdensity with the following parameters
> 
> [ky kx] = ksdensity(vector,pts,'function','cdf');
> 
> for probability density estimate.
> 
> Is there any implementation of such function using mlpack/armadillo?

Hi Angelo,

It has been a long-standing open issue to implement fast tree-based
kernel density estimation: https://github.com/mlpack/mlpack/issues/150
But unfortunately there is no implementation available today.

However, if you are just looking for something simple (if vector or pts
is not too big), you can write a loop over all of the points in 'pts' to
calculate the normal distribution value.  There may be a little bit of
complexity involved---I don't know if ksdensity() does auto-tuning of
the bandwidth to be used, etc. (I have not used it before).

One class that may help in mlpack is the GaussianDistribution class in
src/mlpack/core/dists/gaussian_distribution.hpp.

I hope this helps; let me know if I can clarify anything.

Thanks!

Ryan

-- 
Ryan Curtin    | "Oh man, I shot Marvin in the face."
ryan at ratml.org |   - Vincent