New method for kernel density estimation

[hgixp4y0hk56c]

Hello,

I was searching for a Kernel Density estimation in 3D. I think it could be nice to implement the following method from Zdravko Botev et al. in Julia.

Botev, Z. I.; Grotowski, J. F.; Kroese, D. P. Kernel density estimation via diffusion. Ann. Statist. 38 (2010), no. 5, 2916--2957.

There is an implementation of it in Matlab by Zdravko Botev accessible here :
https://fr.mathworks.com/matlabcentral/profile/authors/878078-zdravko-botev

This method proposes also an adaptative algorithm for a better kernel width estimation.

I might try to implement it on my own but I dont know yet if I will use your structures. Still, I will try to drop usable scripts here.

[VPetukhov]

Hi,
When I was looking at different KDE implementations, R package ks was the most advanced one: it's able to do KDE on up to 6 dimensions. May be worth looking.

[briochemc]

Not sure this is useful but here is a gist where I started to try and translate kde2d.m to Julia and gave up half-way through...