fft_kde.h File Reference

This file contains an implementation of kernel density estimation using multidimensional fast Fourier transform for a linkable library component. More...

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Classes
class	FFTKde
	A computation class for FFT based kernel density estimation. More...

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Detailed Description

This file contains an implementation of kernel density estimation using multidimensional fast Fourier transform for a linkable library component.

This algorithm by design supports only the Gaussian kernel with the fixed-bandwidth. The optimal bandwidth cross-validation routine is not provided in this library.

For more details on mathematical derivations, please take a look at the following paper:

Article{wand94, Author = "M. P. Wand", Title = "{Fast Computation of Multivariate Kernel Estimators}", Journal = "Journal of Computational and Graphical Statistics", Year = "1994" }

Author:

Dongryeol Lee (dongryel)

Bug:

No known bugs.

Definition in file fft_kde.h.