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
Eike Petersen (2023). mvdensity (https://github.com/e-pet/mvdensity/releases/tag/v1.0), GitHub. Retrieved .
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