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Fast Kernel Density Estimator (Multivariate)

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Fast Kernel Density Estimator (Multivariate)

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09 Apr 2013 (Updated )

A very fast multivariate bandwidth calculation for KDE that can even be calculated from a GMM.

plotgauss1d(mu, sigma2, w)
function h = plotgauss1d(mu, sigma2, w)
% function h = plotgauss1d(mu, sigma^2)
% Example
% plotgauss1d(0,5); hold on; h=plotgauss1d(0,2);set(h,'color','r')

sigma = sqrt(sigma2);
x = linspace(mu-3*sigma, mu+3*sigma, 100);
p = gaussian_prob(x, mu, sigma2)*w;
h = plot(x, p, '-');

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