Literature review

Books

  • Silverman, B. W. “Density Estimation for Statistics and Data Analysis.” Chapman and Hall, 1986.
    • A general introduction to the subject. Hints to the use of k-d trees for computational efficiency in section 5.2.3, and adaptive kernel density estimators in section 5.3. Does not discuss practical algorithmic considerations.
  • Wand, M. P., and M. C. Jones. “Kernel Smoothing.” Chapman and Hall, 1995.
    • Not as approachable as the book by Silverman. Appendix D contains computational hints, where linear binning and computation by means of convolution is explained.
  • Kroese, Dirk P., Thomas Taimre, and Zdravko I. Botev. “Handbook of Monte Carlo Methods.” 1 edition. Hoboken, N.J: Wiley, 2011.
    • Some of the ideas used in the paper by Botev et al. are explained in detail here. In particular, see chapter 8.5 on Kernel Density Estimation.

Papers

  • Fan, Jianqing, and James S. Marron. “Fast Implementations of Nonparametric Curve Estimators.” Journal of Computational and Graphical Statistics 3, no. 1 (March 1, 1994). https://doi.org/10.1080/10618600.1994.10474629.
    • Explains how linear binning may be computed in \(\mathcal{O}(N)\) time using the quotient and remainder of division. This idea is extended to a fast \(d\)-dimensional \(\mathcal{O}(N2^d)\) algorithm in KDEpy.
  • Maneewongvatana, Songrit, and David M. Mount. “It’s Okay to Be Skinny, If Your Friends Are Fat.” In Center for Geometric Computing 4th Annual Workshop on Computational Geometry, 2:1–8, 1999. https://www.cs.umd.edu/~mount/Papers/cgc99-smpack.pdf
    • Explains the sliding-midpoint rule for k-d trees. The scipy implementation uses this rule.
  • Z. I. Botev, J. F. Grotowski, and D. P. Kroese. “Kernel density estimation via diffusion.” Annals of Statistics, Volume 38, Number 5, pages 2916-2957. 2010. https://arxiv.org/pdf/1011.2602.pdf
    • Introduces the improved Sheather-Jones (ISJ) algorithm for bandwidth selection, which does not assume normality (unlike the Silverman rule of thumb).
  • Wang, Xianfu. “Volumes of Generalized Unit Balls.” Mathematics Magazine 78, no. 5 (2005): 390–95. https://doi.org/10.2307/30044198.
    • Gives a formula for unit balls in any dimension and any \(p\)-norm. This result is used to normalize kernels in any dimension and norm in KDEpy.

Other resources