MATLAB KDE Class Description
The KDE class is a general matlab class for kdimensional kernel density estimation. It is written in a mix of matlab ".m" files and MEX/C++ code. Thus, to use it you will need to be able to compile C++ code for Matlab. Note that the default compiler for Windows does not support C++, so you will need GCC under Linux, or GCC or Visual C++ for Windows. Bloodshed supplies a nice development environment along with the MinGW compiler. See this page for help setting up MEX with MinGW.
[NOTE: Since several compiled mexglx and dll files are included, you may not need to recompile the toolbox at all; however, I recommend it if possible for compatibility reasons.]
Kernels supported are:
Gaussian
Epanetchnikov (truncated quadratic)
Laplacian (Doubleexponential)
For multivariate density estimates, the code supports product kernels  kernels which are products of the kernel function in each dimension. For example, for Gaussian kernels this is equivalent to requiring a diagonal covariance. It can also support nonuniform kernel bandwidths  i.e. bandwidths which vary over kernel centers.
The implementation uses "kdtrees", a heirarchical representation for point
sets which caches sufficient statistics about point locations etc. in order
to achieve potential speedups in computation. For the Epanetchnikov kernel this
can translate into speedups with no loss of precision; but for kernels with
infinite support it provides an approximation tolerance level, which allows
tradeoffs between evaluation quality and computation speed. In particular, we
implement Alex Gray's "Dual Tree" evaluation algorithm; see
We have also recently implemented the socalled Improved Fast Gauss Transform, described in [Yang, Duraiswami, and Gumerov, "Improved Fast Gauss Transform", submitted to the Siam Journal of Scientific Computing]. This often performs MUCH faster than the dual tree algorithm mentioned above, but the error bounds which control the computation are often quite loose, and somewhat unwieldy (for example, it is difficult to obtain the fractional error bounds provided & used by the dual tree methods and other functions in the KDE toolbox). Thus for the moment we have left the IFGT separate, with alternate controls for computational complexity (see below, and the file "evalIFGT.m").
Getting Started
Download and unzip the KDE class to a directory called @kde.
(If desired) Compile the MEX functions. This can be done by going to the "@kde/mex" directory in Matlab, and copying and pasting the code from the "makemex.m" file into the Matlab window. If this fails, make sure that MEX / C++ compilation works. The KDE toolbox is tested in Matlab R13 and later; it may work in ealier versions as well. Recompiling may not be required, depending on your platform and version; "mexglx" (Linux 32bit), "mexa64" (Linux 64bit), and "dll" (Windows 32bit) files are included. If you have trouble, recompile.
Thanks to Ankur Datta for compiling Mac versions of the MEX files and making them available. (I do not even own a Mac and cannot vouch for their operation, etc.; use at your own risk.)
NOTE: MS Visual C++ has a bug in dealing with "static const" variables; I think there is a patch available, or you can change these to #defines.
Operate from the class' parent directory, or add it to your MATLAB path (e.g. if you unzip to "myhome/@kde", cd in matlab to the "myhome" dir, or add it to the path.)
Objects of type KDE may be created by e.g.
p = kde( rand(2,1000), [.05;.03] ); % Gaussian kernel, 2D % BW = .05 in dim 1, .03 in dim 2.
p = kde( rand(2,1000), .05, ones(1,1000) ); % Same as above, but uniform BW and % specifying weights
p = kde( rand(2,1000), .05, ones(1,1000), 'Epanetchnikov'); % Quadratic kernel; just 'E' or 'e' also works
p = kde( rand(2,1000), 'rot' ); % Gaussian kernel, 2D, BW chosen by "rule of thumb" (below)
To see the kernel shape types, you can use:
plot(3:.01:3, evaluate(kde(0,1,1,T),3:.01:3) ); % where T = 'G', 'E', or 'L'
Kernel sizes may be selected automatically using e.g.
p = ksize(p, 'lcv'); % 1D Likelihoodbased search for BW
p = ksize(p, 'rot'); % "Rule of Thumb"; Silverman '86 / Scott '92
p = ksize(p, 'hall'); % Plugin type estimator (estimates each dim. separately)
Density estimates may be visualized using e.g.
plot(p);
or
mesh(hist(p));
See "help kde/plot" and "help kde/hist" for more information.
Also, the demonstration programs @kde/examples/demo_kde_#.m may be helpful.
Usage Examples
The demonstration programs in @kde/examples/demo_kde_#.m
(where #
is one of 1,2,3
) may be helpful.
KDE Matlab class definition
The following is a simple list of all accessible functions for the KDE class. Use "help functionname" in Matlab for more information.
Constructors:
kde( ) 
empty kde 
kde( kde ) 
reconstruct kde from points, weights, bw, etc. 
kde( points, bw ) 
construct Gauss kde with weights 1/N 
kde( points, bw, weights) 
construct Gaussian kde 
kde( points, bw, weights,type) 
potentially nonGaussian 
marginal( kde, dim) 
marginalize to the given dimensions 
condition( kde, dim, A) 
marginalize to ~dim and weight by K(x_i(dim),a(dim)) 
resample( kde, [kstype] ) 
draw N samples from kde & use to construct a new kde 
reduce( kde, ...) 
construct a "reduced" density estimate (fewer points) 
joinTrees( t1, t2 ) 
make a new tree with t1 and t2 as the children of a new root node 
Accessors: (data access, extremely limited or no processing req'd)
getType(kde) 
return the kernel type of the KDE ('Gaussian', etc) 

getDim 
get the dimension of the data 

getNpts 
get the # of kernel locations 

getNeff 
"effective" # of kernels (accounts for nonuniform weights) 

getPoints(kde) 
Ndim x Npoints array of kernel locations 

adjustPoints(p,delta) 
shift points of P by delta (by reference!) 

rescale(kde,alpha) 
rescale a KDE by the (vector) alpha 

getBW(kde,index) 
return the bandwidth assoc. with x_i (Ndim x length(index)) 

adjustBW(kde,newBW) 
set the bandwidth(s) of the KDE (by reference!) Note: cannot change from a uniform > nonuniform bandwidth 

ksize 
automatic bandwidth selection via a number of methods 

LCV 
1D search using max leaveoneout likelihood criterion 

HALL, HJSM 
Plugin estimator with good asymptotics; MISE criterion 

ROT, MSP 
Fast standarddeviaion based methods; AMISE criterion 

LOCAL 
Like LCV, but makes BW propto kth NN distance (k=sqrt(N)) 

getWeights 
[1 x Npts] array of kernel weights 

adjustWeights 
set kernel weights (by reference!) 

sample(P,Np,KSType) 
draw Np new samples from P and set BW according to KSType 

Display: (visualization / description)
plot(kde...) 
plot the specified dimensions of the KDE locations 
hist(kde...) 
discretize the kde at uniform bin lengths display : text output describing the KDE 
double 
boolean evaluation of the KDE (nonempty) 
Statistics: (useful stats & operations on a kde)
mean 
find the (weighted) mean of the kernel centers 
covar 
find the (weighted) covariance of the kernel centers 
knn(kde, points, k) 
find the k nearest neighbors of each of points in kde 
entropy 
estimate the entropy of the KDE 
kld 
estimate divergence between two KDEs 
evaluate(kde, x[,tol]) 
evaluate KDE at a set of points x 
evaluate(p, p2 [,tol]) 
same as above, x = p2.pts (if we've already built a tree) 
evalIFGT(kde, x, N) 
evaluate using the Nterm IFGT (requires uniform BW Gaussian kernels) 
evalIFGT(p, p2, N) 

evalAvgLogL(kde, x) 
compute Mean( log( evaluate(kde, x) )) 
evalAvgLogL(kde, kde2) 
same as above, but use the weights of kde2 
evalAvgLogL(kde) 
selfeval; leaveoneout option 
llGrad(kde,kde2) 
estimate the gradient of loglikelihood for kde evaluated at the points of kde2 
entropyGrad(p) 
estimate gradient of entropy (uses llGrad) 
miGrad(p,dim) 
estimate gradient for mutual information between p(dim), p(~dim) 
klGrad(p1,p2) 
estimate gradient direction of KLdivergence 
Mixture products: (NBP stuff) (GAUSSIAN KERNELS ONLY)
productExact 
exact computation (N^d kernel centers) 

productApprox 
accessor for other product sampling methods 

prodSampleExact 
sample N points exactly (N^d computation) 

prodSampleEpsilon 
kdtree epsilonexact sampler 

prodSampleGibbs1 
seq. index gibbs sampler 

prodSampleGibbs2 
product of experts gibbs sampler 

prodSampleGibbsMS1 
multiresolution version of GS1 

prodSampleGibbsMS2 
multiresolution version of GS2 

prodSampleImportance 
"mixture" importance sampling 

prodSampleImportGauss 
gaussian importance sampling 
COPYRIGHT / LICENSE
The kde package and all code were written by Alex Ihler and Mike Mandel, and are copyrighted under the (lesser) GPL:
Copyright (C) 2003 Alexander Ihler
This program is free software; you can redistribute it and/or modify it under the terms of the GNU Lesser General Public License as published by the Free Software Foundation; version 2.1 or later. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details. You should have received a copy of the GNU Lesser General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place  Suite 330, Boston, MA 021111307, USA.
The authors may be contacted via email at: ihler (at) alum (.) mit (.) edu
CHANGELOG
CHANGE LOG FOR KERNEL DENSITY ESTIMATION CLASS ============================================== 08/14/07 ATI Fixed 64bit support for productApprox functions + bugfix 07/16/07 ATI Fixed 64bit support for most functions 01/08/04 ATI Added support for LOO estimate in llGrad; fixed computation of norm. constant for LOO version of evaluate 11/22/04 ATI Added (original) Fast Gauss Transform (Greengard & Strain '91), using newer (correct) error bound of Baxter & Roussos '02 11/09/04 ATI Fixed bug in IFGT eval (incorrect scale factor) 10/02/04 ATI Added support for Yang, Duraiswami, and Gumerov's Improved Fast Gauss Transform. Extremely fast; loose bounds on absolute error. 09/17/04 ATI Fixed permutation bug in adjustBW, and bug in llGrad for evals between two distributions. Added explicit discrete resampling. 08/04/04 ATI Updated productApprox:import, reduceKD; added ISE type to reduceKD 07/09/04 ATI Fixed small bugs: condition.m, jointrees.m, productExact.m Improved speed of sample.m 02/19/04 ATI Added "llHess" (Hessian) and "modes" (modefinding) functions 01/29/04 ATI fixed 0 vs 1base err in "index" ret'n values of productApprox 01/22/04 ATI Added "ise" method and epsilonexact MEX implementation Fixed bug in epsilon and exact products of variableBW densities Improved implementation of "condition" for fixedBW densities 12/28/03 ATI Removed "abs" KL method, replaced with "ise" estimate method ("abs" was not a good est. of KL but served as an est. of ISE) 12/13/03 ATI Fixed bug in KNN function and some bugs with the "reduce" f'n & "kld" Added some example demonstration functions 12/05/03 ATI Added "reduce" function Fixed bug in "productExact" (thanks Chunhua Shen) Fixed bug in adjustBW (caused crashing or termination) 11/18/03 ATI Added support for additional KLdivergence estimates 10/28/03 ATI Added support for "kde(pts,'kstype')" constructor 10/24/03 ATI Fixed an error in "adjustWeights"; added mex & dll files to tarfile