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I have dataset like the following fromat and im trying to find out the Kernel density estimation with optimal bandwidth.

data = [[[1, 4, 3], [2, .6, 1.2], [2, 1, 1.2]],
         [[2, 0.5, 1.4], [5, .5, 0], [0, 0, 0]],
         [[1, 4, 3], [5, .5, 0], [2, .5, 1.2]],
         .........]

but I couldn't figure out how to approach it. also how to find the Σ matrix. I tried sklearn kde for univariate kde like,

# kde function
def kde_sklearn(x, x_grid, bandwidth):
    kde = KernelDensity(kernel='gaussian', bandwidth=bandwidth).fit(x)
    log_pdf = kde.score_samples(x_grid[:, np.newaxis])
    return np.exp(log_pdf)

# optimal bandwidth selection
from sklearn.grid_search import GridSearchCV
grid = GridSearchCV(KernelDensity(), {'bandwidth': np.linspace(.1, 1.0, 30)}, cv=20)
grid.fit(x)
bw = grid.best_params_

# pdf using kde
pdf = kde_sklearn(x, x_grid, bw)
ax.plot(x_grid, pdf, label='bw={}'.format(bw))
ax.legend(loc='best')
plt.show()

Can any one help me to extend this to multivariate / in this case 3D data?

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  • 1
    $\begingroup$ As I understand it, the sklearn approach does allow you to run CV on multivariate data, but you can only specify one bandwidth, so it is applied in all dimensions. You could run this on data normalised by the standard deviation in each dimension - but it will still just be a single scaling parameter for the bandwidth. I also want a more flexible approach, but haven't found a ready-made one yet. $\endgroup$ – Gabriel Jul 21 '15 at 10:26

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