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ThomasParistech/weighted_kde.py

Created February 26, 2024 16:20
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weighted_kde.py
import numpy as np
from scipy.stats import norm
def weighted_kde(x_data: np.ndarray, x_prediction: np.ndarray) -> np.ndarray:
h = silverman_bandwidth(x_data) # Required to evaluate CDF
area_values = norm.cdf(1.0, x_prediction, h) - norm.cdf(0.0, x_prediction, h)
basic_densities = basic_kde(x_data, x_prediction, h)
return basic_densities / area_values
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