[R] Multivariate kernel density estimation

Liaw, Andy andy_liaw at merck.com
Mon May 2 15:34:47 CEST 2005

locfit() in the `locfit' package should be able to handle at least 5
dimensions, but you need tons of data and either lots of time or a very fast
computer.  ssden() in the `gss' package will handle up to 4 dimensions.
Those are the only two I know about.  Others may well know better.


> From: Stephan Tolksdorf
> Hi,
> I need to estimate the density at the mean of a sample of a few 
> thousands data points with a dimesion up to 5. The data is 
> uni-modal and 
>   regularly shaped.
> I couldn't find any kernel density package for R which supports more
> than 3 dimensions. Have I overlooked a package or does somebody have 
> code for this purpose? Any other advice?
> Regards,
>    Stephan
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