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I may be missing something obvious, but is there a python package that can reliably do density estimation of a PDF in high dimensions (e.g. 512)? I know of scipy's gaussian_kde but KDE methods work poorly in high dimensions. There is a lot of literature on various ways to get high dimensional density estimation to work, but is there a good, efficient implemented method somewhere that someone knows of?

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    $\begingroup$ Close-voters: I believe this question is primarily about statistics, not programming, and that it should therefore stay open. See Closing "software questions". More precisely, you need to understand the statistics to be able to meaningfully recommend an implementation. $\endgroup$
    – Stephan Kolassa
    Commented Mar 16, 2023 at 9:21
  • $\begingroup$ agreed @StephanKolassa. $\endgroup$
    – utobi
    Commented Mar 16, 2023 at 12:58

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