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Could someone please help me understand this KDE equation by working out an example?

$$=\frac{1}{n*h}\sum_{i=1}^{n} K(\frac{x - x_i}{h})$$

say, for example, I have the data for the following: $$ x = 1.2, \text{ then density is 12}.\\ x = 2.2, \text{then density is 24}.\\ x = 3.8, \text{then density is 18}.\\ x = 6.5, \text{then density is 6}.\\ x = 7.0, \text{then density is 12}.\\ $$

I want the density when $x = 4.5$. Assume $h$ is $0.5$.

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You can try the lpoly command in stata, which gives you the kernel density estimation in one step. Or you can implement this by hand in matlab to get a deeper insight into it. –  user60610 Apr 6 '13 at 22:04
@TongZhang sorry, but I'm not allowed to use proprietary software. –  Arlen Apr 7 '13 at 7:48
Then R is a good choice, the syntax is very close to matlab –  user60610 Apr 7 '13 at 9:34

1 Answer 1

up vote 0 down vote accepted

I mentally visualize KDE like pitching a bunch of tents whose widths are controlled through the bandwidth $h$. The point of using KDE is to estimate a function, specifically a pdf, from its samples. In go the numbers, out comes a (typically continuous) function.

The two questions you have to ponder when using KDE are

  1. What kernel should I be using?
  2. What should I set the bandwidth to?

A great way to grasp this is to generate some samples in MATLAB from a distribution of your selection, and try to recreate the pdf using KDE. See the effect of changing the bandwidth, or using one kernel instead of another.

For $x_i = \{1.2, 2.2, 3.8, 6.5, 7.0\}$, $h=0.5$, and $x=4.5$:

$f_X(4.5)=\frac{1}{4 * 0.5} \left( K( 2(4.5-1.2) ) + K( 2(4.5-2.2) ) + K( 2(4.5-3.8) ) + K( 2(4.5-6.5) ) + K( 2(4.5-7.0) ) \right)$

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I get the basic idea, as you described, but I don't get the equation. –  Arlen May 3 '11 at 5:29
You feed the $x_i$ (as many as you have) as input, then the resulting function of $x$ is the pdf. –  Emre May 3 '11 at 5:31

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