The basic idea is to smooth the data using `a kernel function such as a
normal distribution, triangular distribution, or uniform distribution
<https://en.wikipedia.org/wiki/Kernel_(statistics)#Kernel_functions_in_common_use>`_.
-The degree of smoothing is controlled by a single
-parameter, ``h``, representing the variance of the kernel function.
+The degree of smoothing is controlled by a scaling parameter, ``h``,
+which is called the *bandwidth*.
.. testcode::
- import math
-
def kde_normal(sample, h):
"Create a continuous probability density function from a sample."
- # Smooth the sample with a normal distribution of variance h.
- kernel_h = NormalDist(0.0, math.sqrt(h)).pdf
+ # Smooth the sample with a normal distribution kernel scaled by h.
+ kernel_h = NormalDist(0.0, h).pdf
n = len(sample)
def pdf(x):
return sum(kernel_h(x - x_i) for x_i in sample) / n
.. doctest::
>>> sample = [-2.1, -1.3, -0.4, 1.9, 5.1, 6.2]
- >>> f_hat = kde_normal(sample, h=2.25)
+ >>> f_hat = kde_normal(sample, h=1.5)
>>> xarr = [i/100 for i in range(-750, 1100)]
>>> yarr = [f_hat(x) for x in xarr]