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I'm using the scipy.stats.gaussian_kde function to generate a KDE from a set of $N$ points in a 2D space: $A = \{(x_1,y_1), (x_2,y_2), (x_3,y_2), ..., (x_N,y_N)\}$

Each one of these points has a given error attached to it. So for example, the point $(x_1,y_1)$ has errors $(e_{x_1},e_{y_1})$ and so on. I can assume the errors are normally distributed in both axis.

The python function that I use to generate the KDE has no way to integrate these errors into the calculations and I wonder how I would even do such a thing if I did it manually.

Ie: what is the statistically correct way to generate a KDE accounting for errors in the data used?

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  • $\begingroup$ Did you find a solution to you problem? I now have a similar case, but with 1D data instead 2D. I have an error associated with each value and would like to generate a new array with these errors $\endgroup$
    – Srivatsan
    Commented Mar 11, 2015 at 10:34
  • $\begingroup$ @ThePredator see this question: stackoverflow.com/questions/28330959/… $\endgroup$
    – Gabriel
    Commented Mar 11, 2015 at 11:55
  • $\begingroup$ @ThePredator You're welcome :) And if you come up with some way to improve the answer in that question, please share it over there. Cheers! $\endgroup$
    – Gabriel
    Commented Mar 11, 2015 at 13:33

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You will need a robust loss function in the kernel estimation model. However, this topic may become quite advances very fast. :) For a good start, I would suggest the one class SVM from sklearn. http://scikit-learn.org/stable/modules/svm.html#density-estimation-novelty-detection

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  • $\begingroup$ No idea how I should apply such a method to my issue, sorry. Upvote for pointing me to scikit-learn, I hadn't heard about that package, thanks. $\endgroup$
    – Gabriel
    Commented Oct 15, 2013 at 10:57
  • $\begingroup$ Well, here is an example: scikit-learn.org/stable/auto_examples/svm/… $\endgroup$
    – mojovski
    Commented Oct 15, 2013 at 14:42

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