MultiCDF.jl

Empirical Multivariate Cumulative Distribution Function.

Main features of MultiCDF.jl:

• Provides a way to represent multivariate ECDFs, calculate their values at arbitrary points;
• Includes an efficient algorithm to compute ECDF at a grid of points at once;
• Supports a variety of point types: Tuples, NamedTuples, StaticVectors (doesn't depend on StaticArrays itself);
• Can calculate marginal ECDFs taking a subset of parameters into account;
• Computes generalized ECDFs: arbitrary signs (<= / >= / < / >), arbitrary OnlineStats statistics instead of simple counting.

See a Pluto notebook for examples and benchmarks.