Zdravko's kernel density estimator works a lot more quicker than traditional methods although I am getting spurious artifacts due to too low a bandwidth selected of 0.02 (a third smaller than when i used another selector which minimised expected L2 loss between estimate and underlying). The latter bandwidth works smoothly but takes a bit longer. Also, I get negative densities at the outliers so I adjusted the minmax boundaries. Is there a way to alter the estimator to avoid this issue?
4
07 Jan 2012
Kernel Density Estimator
Reliable and extremely fast kernel density estimator for one-dimensional data
hi, it's a really a fast and robust script. I have a question about what the time complexity (in terms of data size n) is, namely O(n) or O(n^2)? Could someone provide some time complexity analysis ? Great thanks~
Question: is there any way to incorporate observation weights? I have calculated a weight based on other considerations (measurement error and goodness of fit, e.g.) for each data point in my distribution and want to incorporate this into the density estimate. Thanks in advance.
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