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 23 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 49 of file AdaptiveKernelDensityEstimation.h.

References init_().

~AdaptiveKernelDensityEstimation()

virtual bpp::AdaptiveKernelDensityEstimation::~AdaptiveKernelDensityEstimation ( )

inlinevirtual

Definition at line 57 of file AdaptiveKernelDensityEstimation.h.

References init_(), kDensity(), kernel_(), and sampleMean_().

Member Function Documentation

init_()

void AdaptiveKernelDensityEstimation::init_ ( )

private

Definition at line 12 of file AdaptiveKernelDensityEstimation.cpp.

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

Referenced by AdaptiveKernelDensityEstimation(), and ~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 104 of file AdaptiveKernelDensityEstimation.cpp.

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

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

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 91 of file AdaptiveKernelDensityEstimation.cpp.

References bpp::NumConstants::PI().

Referenced by ~AdaptiveKernelDensityEstimation().

sampleMean_()

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

private

Definition at line 75 of file AdaptiveKernelDensityEstimation.cpp.

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

Referenced by ~AdaptiveKernelDensityEstimation().

Member Data Documentation

c1_

double bpp::AdaptiveKernelDensityEstimation::c1_

private

Definition at line 33 of file AdaptiveKernelDensityEstimation.h.

c2_

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

private

Definition at line 34 of file AdaptiveKernelDensityEstimation.h.

covar_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::covar_

private

Definition at line 29 of file AdaptiveKernelDensityEstimation.h.

gamma_

double bpp::AdaptiveKernelDensityEstimation::gamma_

private

Definition at line 32 of file AdaptiveKernelDensityEstimation.h.

h_

double bpp::AdaptiveKernelDensityEstimation::h_

private

Definition at line 35 of file AdaptiveKernelDensityEstimation.h.

invSqrtCovar_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::invSqrtCovar_

private

Definition at line 30 of file AdaptiveKernelDensityEstimation.h.

lambda_

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

private

Definition at line 36 of file AdaptiveKernelDensityEstimation.h.

n_

size_t bpp::AdaptiveKernelDensityEstimation::n_

private

Definition at line 27 of file AdaptiveKernelDensityEstimation.h.

pilot_

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

private

Definition at line 37 of file AdaptiveKernelDensityEstimation.h.

r_

size_t bpp::AdaptiveKernelDensityEstimation::r_

private

Definition at line 28 of file AdaptiveKernelDensityEstimation.h.

x_

RowMatrix<double> bpp::AdaptiveKernelDensityEstimation::x_

private

Definition at line 26 of file AdaptiveKernelDensityEstimation.h.

xMean_

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

private

Definition at line 31 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