Code covered by the BSD License  

Highlights from
Fast Kernel Density Estimator (Multivariate)

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from Fast Kernel Density Estimator (Multivariate) by Matej Kristan
A very fast multivariate bandwidth calculation for KDE that can even be calculated from a GMM.

applyForScaleTransformToPdf( pdf0, Mu, T ) 
function pdf0 = applyForScaleTransformToPdf( pdf0, Mu, T )
 
pdf0.Mu = bsxfun(@minus, pdf0.Mu, Mu) ;
pdf0.Mu = T * pdf0.Mu ;

for i = 1 : length(pdf0.w)   
    pdf0.Cov{i} = T*pdf0.Cov{i}*T' ;    
end

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