JuliaStats/Distributions.jl — pull request #29 by johnmyleswhite (2013-03-11 03:07:30+00:00)
Title: Algorithm AS 176 for KDE's

Here's the start of an alternative KDE implementation:

using Distributions
x, smooth = kde([1., 1., 1., 2.], 512)

This code needs to get cleaned up, but it should provide a faster way to compute KDE's with Gaussian kernels than the more general purpose code currently being discussed.

There are two _major_ bugs right now:

* Results do not integrate to 1
* There are odd interlacing effects in the results

I'll try to finish this over the next few days, but wanted to get the draft code out there for comparison with Jameson's approach -- which will probably be complete much sooner than this code will be.