Added missing cites
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@@ -3,7 +3,7 @@ We now empirically evaluate the accuracy of our method and compare its runtime p
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To conclude our findings we present a real world example from a indoor localisation system.
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To conclude our findings we present a real world example from a indoor localisation system.
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All tests are performed on a Intel Core \mbox{i5-7600K} CPU with a frequency of $4.5 \text{GHz}$, which supports the AVX2 instruction set, hence 256-bit wide SIMD registers are available.
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All tests are performed on a Intel Core \mbox{i5-7600K} CPU with a frequency of $4.5 \text{GHz}$, which supports the AVX2 instruction set, hence 256-bit wide SIMD registers are available.
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We compare our C++ implementation of the box filter based KDE to the KernSmooth R package and the \qq{FastKDE} implementation \cite{fastKDE}.
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We compare our C++ implementation of the box filter based KDE to the KernSmooth R package and the \qq{FastKDE} implementation \cite{oBrien2016fast}.
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The KernSmooth packages provides a FFT-based BKDE implementation based on optimized C functions at its core.
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The KernSmooth packages provides a FFT-based BKDE implementation based on optimized C functions at its core.
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\subsection{Error}
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\subsection{Error}
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@@ -55,7 +55,7 @@ Furthermore, only one addition and subtraction is required to calculate a single
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Given a fast approximation scheme, it is necessary to construct a box filter analogous to a given Gaussian filter.
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Given a fast approximation scheme, it is necessary to construct a box filter analogous to a given Gaussian filter.
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As given in \eqref{eq:gausfx} the solely parameter of the Gaussian kernel is the standard deviation $\sigma$.
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The solely parameter of the Gaussian kernel is the standard deviation $\sigma$.
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In contrast, the moving average filter is parametrized by its width $w$.
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In contrast, the moving average filter is parametrized by its width $w$.
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Therefore, in order to approximate the Gaussian filter of a given $\sigma$ a corresponding value of $w$ must be found.
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Therefore, in order to approximate the Gaussian filter of a given $\sigma$ a corresponding value of $w$ must be found.
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Given $n$ iterations of moving average filters with identical widths the ideal width $\wideal$, as suggested by Wells~\cite{wells1986efficient}, is
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Given $n$ iterations of moving average filters with identical widths the ideal width $\wideal$, as suggested by Wells~\cite{wells1986efficient}, is
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@@ -11,7 +11,7 @@ It was subject to extensive research and its theoretical properties are well und
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A comprehensive reference is given by Scott \cite{scott2015}.
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A comprehensive reference is given by Scott \cite{scott2015}.
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Although classified as non-parametric, the KDE depends on two free parameters, the kernel function and its bandwidth.
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Although classified as non-parametric, the KDE depends on two free parameters, the kernel function and its bandwidth.
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The selection of a \qq{good} bandwidth is still an open problem and heavily researched.
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The selection of a \qq{good} bandwidth is still an open problem and heavily researched.
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An extensive overview regarding the topic of automatic bandwith selection is given by \cite{heidenreich2013bandwith}.
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An extensive overview regarding the topic of automatic bandwith selection is given by \cite{heidenreich2013bandwidth}.
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%However, the automatic selection of the bandwidth is not subject of this work and we refer to the literature \cite{turlach1993bandwidth}.
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%However, the automatic selection of the bandwidth is not subject of this work and we refer to the literature \cite{turlach1993bandwidth}.
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The great flexibility of the KDE renders it very useful for many applications.
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The great flexibility of the KDE renders it very useful for many applications.
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@@ -33,10 +33,9 @@ The term fast Gauss transform was coined by Greengard \cite{greengard1991fast} w
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% However, the complexity grows exponentially with dimension. \cite{Improved Fast Gauss Transform and Efficient Kernel Density Estimation}
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% However, the complexity grows exponentially with dimension. \cite{Improved Fast Gauss Transform and Efficient Kernel Density Estimation}
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% FastKDE, passed on ECF and nuFFT
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% FastKDE, passed on ECF and nuFFT
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Recent methods based on the \qq{self-consistent} KDE proposed by Bernacchia and Pigolotti allow to obtain an estimate without any assumptions.
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Recent methods based on the \qq{self-consistent} KDE proposed by Bernacchia and Pigolotti \cite{bernacchia2011self} allow to obtain an estimate without any assumptions, i.e. the kernel and bandwidth are both derived during the estimation.
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They define a Fourier-based filter on the empirical characteristic function of a given dataset.
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They define a Fourier-based filter on the empirical characteristic function of a given dataset.
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The computation time was further reduced by \etal{O'Brien} using a non-uniform fast Fourier transform (FFT) algorithm to efficiently transform the data into Fourier space.
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The computation time was further reduced by \etal{O'Brien} using a non-uniform fast Fourier transform (FFT) algorithm to efficiently transform the data into Fourier space \cite{oBrien2016fast}.
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Therefore, the data is not required to be on a grid.
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% binning => FFT
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% binning => FFT
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In general, it is desirable to omit a grid, as the data points do not necessary fall onto equally spaced points.
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In general, it is desirable to omit a grid, as the data points do not necessary fall onto equally spaced points.
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107
tex/egbib.bib
107
tex/egbib.bib
@@ -2899,6 +2899,15 @@ year = {2003}
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publisher={IEEE}
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publisher={IEEE}
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}
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}
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@inproceedings{gwosdek2011theoretical,
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title={Theoretical foundations of gaussian convolution by extended box filtering},
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author={Gwosdek, Pascal and Grewenig, Sven and Bruhn, Andr{\'e}s and Weickert, Joachim},
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booktitle={International Conference on Scale Space and Variational Methods in Computer Vision},
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pages={447--458},
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year={2011},
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publisher={Springer}
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}
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@book{turlach1993bandwidth,
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@book{turlach1993bandwidth,
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title={Bandwidth selection in kernel density estimation: A review},
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title={Bandwidth selection in kernel density estimation: A review},
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author={Turlach, Berwin A.},
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author={Turlach, Berwin A.},
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@@ -2958,6 +2967,71 @@ year = {2003}
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publisher={Taylor \& Francis Group}
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publisher={Taylor \& Francis Group}
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}
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}
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@article{wand1994fast,
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title={Fast computation of multivariate kernel estimators},
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author={Wand, M. P.},
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journal={Journal of Computational and Graphical Statistics},
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@article{hall1996accuracy,
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title={On the accuracy of binned kernel density estimators},
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author={Hall, Peter and Wand, Matt P.},
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journal={Journal of Multivariate Analysis},
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title={The accuracy and the computational complexity of a multivariate binned kernel density estimator},
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author={Holmstr{\"o}m, Lasse},
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publisher={Elsevier}
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@article{silverman1982algorithm,
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title={Algorithm AS 176: Kernel density estimation using the fast Fourier transform},
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author={Silverman, BW},
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journal={Journal of the Royal Statistical Society. Series C (Applied Statistics)},
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publisher={JSTOR}
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}
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@article{bernacchia2011self,
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title={Self-consistent method for density estimation},
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author={Bernacchia, Alberto and Pigolotti, Simone},
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journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
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volume={73},
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number={3},
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pages={407--422},
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year={2011},
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publisher={Wiley Online Library}
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}
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@article{oBrien2016fast,
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title={A fast and objective multidimensional kernel density estimation method: fastKDE},
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author={O’Brien, Travis A and Kashinath, Karthik and Cavanaugh, Nicholas R and Collins, William D and O’Brien, John P},
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journal={Computational Statistics \& Data Analysis},
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volume={101},
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pages={148--160},
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year={2016},
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publisher={Elsevier}
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}
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@book{dspGuide1997,
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@book{dspGuide1997,
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Author = {Steven W. Smith},
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Author = {Steven W. Smith},
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Title = {The Scientist and Engineer's Guide to Digital Signal Processing},
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Title = {The Scientist and Engineer's Guide to Digital Signal Processing},
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@@ -2966,3 +3040,36 @@ year = {2003}
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Isbn = {978-0-9660176-7-0},
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Isbn = {978-0-9660176-7-0},
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Publisher = {California Technical Pub}
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Publisher = {California Technical Pub}
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}
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}
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@article{rosenblatt1956remarks,
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title={Remarks on some nonparametric estimates of a density function},
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author={Rosenblatt, Murray},
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journal={The Annals of Mathematical Statistics},
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volume={27},
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publisher={Institute of Mathematical Statistics}
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}
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@article{parzen1962estimation,
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title={On estimation of a probability density function and mode},
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author={Parzen, Emanuel},
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journal={The Annals of Mathematical Statistics},
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volume={33},
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number={3},
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pages={1065--1076},
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publisher={Institute of Mathematical Statistics}
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}
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@book{scott2015,
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author = {Scott, David W.},
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year = {2015},
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title = {Multivariate Density Estimation: Theory, Practice, and Visualization},
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address = {Hoboken, NJ},
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edition = {2},
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publisher = {Wiley},
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isbn = {978-0-471-69755-8},
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series = {Wiley series in probability and statistics}
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}
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