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2018-03-13 15:58:41 +01:00
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@@ -9,8 +9,8 @@ In order to estimate a multivariate density using KDE or BKDE, a multivariate ke
Multivariate kernel functions can be constructed in various ways, however, a popular way is given by the product kernel.
Such a kernel is constructed by combining several univariate kernels into a product, where each kernel is applied in each dimension with a possibly different bandwidth.
Given a multivariate random variable $\bm{X}=(x_1,\dots ,x_d)$ in $d$ dimensions.
The sample set $\mathcal{X}$ is a $n\times d$ matrix \cite{scott2015}.
Given a multivariate random variable $\bm{X}=(x_1,\dots ,x_d)^T$ in $d$ dimensions.
The sample set $\mathcal{X}=(x_{i,j})=(\bm{X}_1, \dots, \bm{X}_n)$ is a $n\times d$ matrix \cite{scott2015}.
The multivariate KDE $\hat{f}$ which defines the estimate pointwise at $\bm{u}=(u_1, \dots, u_d)^T$ is given as
\begin{equation}
\label{eq:mvKDE}