kde.hpp

// Kernel density estimation by Tim Nugent (c) 2014

#ifndef KDE_HPP
#define KDE_HPP

#include <stdlib.h>
#include <stdint.h>
#include <cmath>
#include <iostream>
#include <vector> 
#include <map>

using namespace std;

class KDE{

public: 
	KDE() : extension(3), bandwidth_opt_type(1), kernel(1) {};
	~KDE(){};
    void add_data(double x);
    void add_data(double x, double y);
    void add_data(vector<double>& x);
    void set_bandwidth_opt_type(int x);
    void set_kernel_type(int x);
    double get_min(int x){curr_var = x;default_bandwidth();return(min_map[x]-(extension*default_bandwidth_map[x]));};
    double get_max(int x){curr_var = x;default_bandwidth();return(max_map[x]+(extension*default_bandwidth_map[x]));};
    double pdf(double x);
    double pdf(double x, double y);
    double pdf(vector<double>& data);
    double cdf(double x);
    double cdf(double x, double y);
    double cdf(vector<double>& data);
    double get_bandwidth(int x){return(bandwidth_map[x]);};
    int get_vars_count(){return(data_matrix.size());};
private:
	void calc_bandwidth();
    void default_bandwidth();
    void optimal_bandwidth(int maxiters = 25, double eps = 1e-03);
    void optimal_bandwidth_safe(double eps = 1e-03);
	double gauss_cdf(double x, double m, double s);
	double gauss_pdf(double x, double m, double s);
	double gauss_curvature(double x, double m, double s);
    double box_pdf(double x, double m, double s);
    double box_cdf(double x, double m, double s);
    double epanechnikov_pdf(double x, double m, double s);
    double epanechnikov_cdf(double x, double m, double s);
	double optimal_bandwidth_equation(double w, double min, double max, vector<double>& data);
	double stiffness_integral(double w, double min, double max, vector<double>& data);
	double curvature(double x, double w, vector<double>& data);

	map<int,double> sum_x_map, sum_x2_map, count_map, min_map, max_map, default_bandwidth_map, bandwidth_map;
	vector<vector<double> > data_matrix;
	unsigned int extension;
	int bandwidth_opt_type, kernel;
	unsigned int curr_var;

};

#endif