mvdensity

Efficient multivariate density estimation based on simple histogram interpolation/smoothing

A simple method for estimating multivariate probability densities based on sample data. The method works efficiently in multiple dimensions, with many datapoints (tested up to a million), and is also cheap to evaluate on many datapoints. It works simply by computing a multivariate histogram and then smoothing or interpolating the histogram counts.

For more details, see

• the main function, est_pdf_grid.m
• the doc file documentation.pdf
• the test examples implemented in run_pdf_examples.m

-- Eike Petersen, August 2021

The code has been developed while I was at the University of Lübeck, with the Institute for Electrical Engineering in Medicine.