bpp::AdaptiveKernelDensityEstimation Class Reference

Density estimation using the adaptive kernel method. More...

#include <Bpp/Numeric/AdaptiveKernelDensityEstimation.h>

Collaboration diagram for bpp::AdaptiveKernelDensityEstimation:

Public Member Functions
	AdaptiveKernelDensityEstimation (const Matrix< double > &x, double gamma=0.5)
	Build a new AdaptiveKernelDensityEstimation object. More...
virtual	~AdaptiveKernelDensityEstimation ()
double	kDensity (const std::vector< double > &x)

Private Member Functions
void	init_ ()
void	sampleMean_ (const Matrix< double > &x, std::vector< double > &mean)
double	kernel_ (const Matrix< double > &x)
	The kernel function. More...

Private Attributes
RowMatrix< double >	x_
size_t	n_
size_t	r_
RowMatrix< double >	covar_
RowMatrix< double >	invSqrtCovar_
std::vector< double >	xMean_
double	gamma_
double	c1_
std::vector< double >	c2_
double	h_
std::vector< double >	lambda_
std::vector< double >	pilot_

Detailed Description

Density estimation using the adaptive kernel method.

For now this implementation is quite restricted, more options may be implemented later...

The source for this method can be found is the appendix of the following paper: Ivan Kojadinovic, Computational Statistics and Data Analaysis (2004), 46:269-294

Author

Julien Dutheil

Definition at line 58 of file AdaptiveKernelDensityEstimation.h.

Constructor & Destructor Documentation

AdaptiveKernelDensityEstimation()

bpp::AdaptiveKernelDensityEstimation::AdaptiveKernelDensityEstimation ( const Matrix< double > &  x, double  gamma = 0.5  )

inline

Build a new AdaptiveKernelDensityEstimation object.

Parameters

x	A mtrix contianing the sample point, one point per column. The row of the matrix are the dimension of the sampled vectors, wich can be 1.
gamma	Controls the influence of the pilot density. A value of 0 maximizes the impact of the pilot density, and hence corresponds to the standard Kernel Density Estimation method. A value in ]0,1] allows a local adjustement of the bandwith. The 0.5 value is commonly used.

Definition at line 84 of file AdaptiveKernelDensityEstimation.h.

References init_().

~AdaptiveKernelDensityEstimation()

virtual bpp::AdaptiveKernelDensityEstimation::~AdaptiveKernelDensityEstimation ( )

inlinevirtual

Definition at line 92 of file AdaptiveKernelDensityEstimation.h.

Member Function Documentation

init_()

void AdaptiveKernelDensityEstimation::init_ ( )

private

Definition at line 47 of file AdaptiveKernelDensityEstimation.cpp.

References bpp::MatrixTools::covar(), bpp::MatrixTools::det(), bpp::MatrixTools::mult(), and bpp::MatrixTools::scale().

Referenced by AdaptiveKernelDensityEstimation().

kDensity()

double AdaptiveKernelDensityEstimation::kDensity

(

const std::vector< double > &

x

)

Returns

The value of the estimated density for point x.

Parameters

x	The point where to estimate the density.

Definition at line 125 of file AdaptiveKernelDensityEstimation.cpp.

References bpp::MatrixTools::mult(), and bpp::MatrixTools::scale().

Referenced by bpp::VectorTools::miContinuous(), and bpp::VectorTools::shannonContinuous().

kernel_()

double AdaptiveKernelDensityEstimation::kernel_ ( const Matrix< double > &  x )

private

The kernel function.

For now a standard normal density is used, further options may be added later, including the possibility to use your own function.

Parameters

x	The point for which to compute the density, as a matrix with 1 column and r_ rows.

Returns

The value of the kernel function at the corresponding point.

Definition at line 114 of file AdaptiveKernelDensityEstimation.cpp.

References bpp::NumConstants::PI().

sampleMean_()

void AdaptiveKernelDensityEstimation::sampleMean_ ( const Matrix< double > &  x, std::vector< double > &  mean  )

private

Definition at line 100 of file AdaptiveKernelDensityEstimation.cpp.

References bpp::Matrix< Scalar >::getNumberOfColumns(), and bpp::Matrix< Scalar >::getNumberOfRows().

Member Data Documentation

c1_

double bpp::AdaptiveKernelDensityEstimation::c1_

private

Definition at line 68 of file AdaptiveKernelDensityEstimation.h.

c2_

std::vector<double> bpp::AdaptiveKernelDensityEstimation::c2_

private

Definition at line 69 of file AdaptiveKernelDensityEstimation.h.

covar_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::covar_

private

Definition at line 64 of file AdaptiveKernelDensityEstimation.h.

gamma_

double bpp::AdaptiveKernelDensityEstimation::gamma_

private

Definition at line 67 of file AdaptiveKernelDensityEstimation.h.

h_

double bpp::AdaptiveKernelDensityEstimation::h_

private

Definition at line 70 of file AdaptiveKernelDensityEstimation.h.

invSqrtCovar_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::invSqrtCovar_

private

Definition at line 65 of file AdaptiveKernelDensityEstimation.h.

lambda_

std::vector<double> bpp::AdaptiveKernelDensityEstimation::lambda_

private

Definition at line 71 of file AdaptiveKernelDensityEstimation.h.

n_

size_t bpp::AdaptiveKernelDensityEstimation::n_

private

Definition at line 62 of file AdaptiveKernelDensityEstimation.h.

pilot_

std::vector<double> bpp::AdaptiveKernelDensityEstimation::pilot_

private

Definition at line 72 of file AdaptiveKernelDensityEstimation.h.

r_

size_t bpp::AdaptiveKernelDensityEstimation::r_

private

Definition at line 63 of file AdaptiveKernelDensityEstimation.h.

x_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::x_

private

Definition at line 61 of file AdaptiveKernelDensityEstimation.h.

xMean_

std::vector<double> bpp::AdaptiveKernelDensityEstimation::xMean_

private

Definition at line 66 of file AdaptiveKernelDensityEstimation.h.

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The documentation for this class was generated from the following files:

• Bpp/Numeric/AdaptiveKernelDensityEstimation.h
• Bpp/Numeric/AdaptiveKernelDensityEstimation.cpp