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Re: multivariate kernel density?

From: Michael Creel
Subject: Re: multivariate kernel density?
Date: Fri, 22 Sep 2006 09:24:10 +0200
User-agent: Thunderbird (X11/20060728)

Hi Miquel and Paul,
Thanks for the links, Miquel. Another one I've found is which has C code for Matlab licensed as LGPL. Of the links below, I don't think that dynare has much to do with kernel density estimation - it's for DSGE models, I think. The kernel stuff in stixbox is univariate only - code like this is widely available. The python KPDF stuff is limited to 3 dimensions. I'll have some Octave code with more functionality shortly.

I can't edit the wiki at the moment, but I think dynare needs to be classified elsewhere. I would try to limit a list like this to "best of breed" software.


Paul Kienzle wrote:
The octave wiki is an excellent place to put links to packages.
I added those below to

Please edit the info there once you have more information.

- Paul

On Sep 21, 2006, at 7:16 AM, Miquel Cabanas wrote:
Dynare is a pre-processor and a collection of MATLAB or SCILAB routines
which solve non--linear models with forward looking variables.
Cannot find any insight about the license terms, but some code is
derived work from GPL code, e.g.,
The code is adapted from Anders Holtsberg's matlab toolbox (stixbox).
GPL. Statistics toolbox for Matlab, Octave, and Matcom/Mideva.
GPL. Written in python. Don't know how difficult would be to port the
A google-search for epanechnikov at the site returns
several R packages on this subject. They all should be GPLed.
GPL. Written in Java, again, don't know how difficult...
look for a file called
GNU Lesser General Public License. The LTI-Lib is an object oriented
library with algorithms and data structures frequently used in image
processing and computer vision.


On Thu, 2006-09-21 at 11:27 +0200, Michael Creel wrote:
I'm planning on writing some Octave functions for multivariate kernel
density estimation, initially Epanechnikov product kernels with
bandwidth selection by leave 1 out cross validation, and then maybe
extensions. If anyone has pointers to GPL code that could be useful,
please let me know. Thanks, Michael

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