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Re: multivariate kernel density?


From: Michael Creel
Subject: Re: multivariate kernel density?
Date: Fri, 22 Sep 2006 09:24:10 +0200
User-agent: Thunderbird 1.5.0.5 (X11/20060728)

Hi Miquel and Paul,
Thanks for the links, Miquel. Another one I've found is http://www.ics.uci.edu/~ihler/code/kde.shtml which has C code for Matlab licensed as LGPL. Of the links below, I don't think that dynare has much to do with kernel density estimation - it's for DSGE models, I think. The kernel stuff in stixbox is univariate only - code like this is widely available. The python KPDF stuff is limited to 3 dimensions. I'll have some Octave code with more functionality shortly.

I can't edit the wiki at the moment, but I think dynare needs to be classified elsewhere. I would try to limit a list like this to "best of breed" software.

Michael

Paul Kienzle wrote:
The octave wiki is an excellent place to put links to packages.
I added those below to

    http://wiki.octave.org/wiki.pl?CategoryStatistics

Please edit the info there once you have more information.

- Paul

On Sep 21, 2006, at 7:16 AM, Miquel Cabanas wrote:

http://www.cepremap.cnrs.fr/dynare/
Dynare is a pre-processor and a collection of MATLAB or SCILAB routines
which solve non--linear models with forward looking variables.
Cannot find any insight about the license terms, but some code is
derived work from GPL code, e.g.,

https://www.cepremap.cnrs.fr/websvn/filedetails.php?repname=repos
+1&path=%2Fdynare_v3%2Fmatlab%2Fkernel_density_estimate.m&rev=6&sc=1
The code is adapted from Anders Holtsberg's matlab toolbox (stixbox).

http://www.maths.lth.se/matstat/stixbox/
GPL. Statistics toolbox for Matlab, Octave, and Matcom/Mideva.

http://www.python.net/crew/jsaenz/KPDF/
GPL. Written in python. Don't know how difficult would be to port the
code.

http://www.google.com/search?hl=en&lr=&q=Epanechnikov+site%
3Ar-project.org&btnG=Search
A google-search for epanechnikov at the r-project.org site returns
several R packages on this subject. They all should be GPLed.

http://astrostatistics.psu.edu/statcodes/sc_density.html

http://www.cs.waikato.ac.nz/~ml/weka/
GPL. Written in Java, again, don't know how difficult...
look for a file called LWL.java

http://ltilib.sourceforge.net/doc/homepage/index.shtml
GNU Lesser General Public License. The LTI-Lib is an object oriented
library with algorithms and data structures frequently used in image
processing and computer vision.

Miquel


On Thu, 2006-09-21 at 11:27 +0200, Michael Creel wrote:
I'm planning on writing some Octave functions for multivariate kernel
density estimation, initially Epanechnikov product kernels with
bandwidth selection by leave 1 out cross validation, and then maybe
extensions. If anyone has pointers to GPL code that could be useful,
please let me know. Thanks, Michael


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