File Exchange

image thumbnail

adaptive kernel density estimation in one-dimension

version 1.0.0.0 (3.72 KB) by Zdravko Botev
fast and reliable adaptive kernel density estimator

3 Downloads

Updated 21 Jul 2016

View License

Fast adaptive kernel density estimation in one-dimension in one m-file;
Provides optimal accuracy/speed trade-off. To increase speed when dealing with "big data",
simply reduce the "gam" parameter; Typically "gam=n^(1/3)", where "n" is the length of data.

% [pdf,grid]=akde1d(X,grid,gam)
INPUTS:
X - data as a 'n' by '1' vector;
grid - (optional) mesh over which density is to be computed;
default mesh uses 2^12 points over range of data;
gam - (optional) cost/accuracy trade-off parameter, where gam<n;
default value is gam=ceil(n^(1/3))+20; larger values
result in better accuracy, but reduce speed;
to speedup the code, use smaller "gam";

OUTPUT:
pdf - the value of the estimated density at 'grid'

EXAMPLE:
data=[exp(randn(10^3,1))]; % log-normal sample
[pdf,grid]=akde1d(data); plot(grid,pdf)

Note: If you need a very fast estimator use my "kde.m" function.
This routine is more adaptive at the expense of speed. Use "gam" to control a speed/accuracy tradeoff.

Reference:
Kernel density estimation via diffusion
Z. I. Botev, J. F. Grotowski, and D. P. Kroese (2010)
Annals of Statistics, Volume 38, Number 5, pages 2916-2957.

Cite As

Zdravko Botev (2021). adaptive kernel density estimation in one-dimension (https://www.mathworks.com/matlabcentral/fileexchange/58309-adaptive-kernel-density-estimation-in-one-dimension), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (8)

Pavel Junker

Could anyone provide any resources explaining this method? There doesn't seem to be any mention about it in the linked paper, nor have I been able to find it elsewhere.

Harrix Lin

remarkable

Jordan Olson

I had found the paper this code was based on and was trying to implement it using symbolic functions. It appeared this was much too computationally difficult, and as I was about to give up, I found this code. It appears to work very well, and there's nobody better to get it from than the person who published the paper!

Andrea Creighton

EdwardWale1

Perfect code!Thank you so much!

EdwardWale1

Cheshbon Pashut

Excellent practical results. I'm curious what is the form of the diffusion equation implemented in the code?

Mladen Dalto

It seams line 42 has an error in default gamma:
gam > n when n < 23
so in that case mu=X(perm(1:gam),:) can not be indexed

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!