# The meaning of Kernel density estimation

So I'm attempting to design a graph which shows the density of points in 2D space (i.e. a contour plot) with some meaningful values attached to the contours/levels.

I've used two methods to try to understand KDE output.

Seaborn's kdeplot uses statsmodels KDE PDF to get a 2d array of the probability density function.

Scikit-learn does the same thing (presumably) but outputs the log density. I'm assuming here that the log density refers to the log of the above PDF.

So I believe that if I integrate, over all space, the density (taking exponential of log density) of a KDE built from a sample of points, I get 1.

However, when plotted, this doesn't really help with the meaning. What is happening at, say, the middle contour level? My current understanding is that $\rm{exp}(-1.92) = 0.15$ and that number is the probability density of that level. Integrating that over the area of the level, $\approx 0.15 \times \pi 0.25^2 = 0.03$ gives me a 3% chance of point being located there.

It has been a while since I've looked into these things so a little explanation would be appreciated.

In the end, all I'm looking for is a meaningful way of displaying density on a 2D plot. I've seen plots displaying contours labelled as normalised density (with 25%, 50%, 75%... contours working out from the middle). This is the sort of thing I'm aiming for but not sure as to the meaning of it

code to reproduce above plot:

import numpy as np
import seaborn as sns
import matplotlib.pyplot as plt
from sklearn.neighbors.kde import KernelDensity

np.random.seed(1000)
x = np.random.rand(10)
y = np.random.rand(10)
data = np.vstack((x, y)).T

kde = KernelDensity().fit(data)

r = np.linspace(0, 1, 1000)
X, Y = np.meshgrid(r, r)

plot_data = np.vstack((X.ravel(), Y.ravel())).T

log_dens = kde.score_samples(plot_data)

plt.contourf(X, Y, log_dens.reshape(X.shape), cmap='Purples')
plt.colorbar()
plt.plot(x, y, 'b.')
plt.show()


• @Lucidnonsense Not sure how to do it in python, but mathematically, you can divide the normalized density by its integral over $\mathbb{R}^2$ or you can find the point where the normalized density is 1, then determine its distance from each sample point and re-calculate the true density value at the that point. Then, you multiply all points by the true density of this point. – user75138 Oct 18 '15 at 19:37