kde.h File Reference

#include <cmp_defines.h>
#include <statistics.h>
#include <kernel++.h>
#include <optimization.h>
#include <distribution.h>

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Classes
class	cmp::density::KDE
	Multivariate Kernel Density Estimation (KDE) class. More...

Namespaces
namespace	cmp
namespace	cmp::density

Functions
Eigen::MatrixXd	cmp::density::bandwidthSelectionRule (const KDE::BandWidthSelectionMethod &method, Eigen::Ref< Eigen::MatrixXd > xObs)
	Computes the bandwidth matrix using standard rules of thumb.
void	cmp::density::bandwidthOptimizationCrossValidation (const cmp::statistics::KFold &kf, Eigen::Ref< Eigen::MatrixXd > xObs, std::shared_ptr< cmp::kernel::Kernel > kernel, std::shared_ptr< cmp::kernel::Bandwidth > initialBandwidth, const double &min, const double &max, nlopt::algorithm alg, const double &tol=1e-4)
	Optimizes the bandwidth matrix using K-Fold cross-validation over the observations.