AverageShiftedHistograms.jl

⚡ Lightning fast density estimation in Julia ⚡
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February 2015
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AverageShiftedHistograms.jl

Lightning fast density estimation in Julia

An Averaged Shifted Histogram (ASH) is essentially Kernel Density Estimation over a fine-partition histogram. ASH uses constant memory, can be constructed on-line via O(nbins) updates, and lets you estimate densities for arbitrarily big data.

Quickstart:

import Pkg

Pkg.add("AverageShiftedHistograms")

using AverageShiftedHistograms

ash(randn(10^6))