Kernel Density Estimation in Python
Last week Michael Lerner posted a nice explanation of the relationship between histograms and kernel density estimation (KDE). I've made some attempts in this direction before (both in the scikitlearn documentation and in our upcoming textbook), but Michael's use of interactive javascript widgets makes the relationship extremely intuitive. I had been planning to write a similar post on the theory behind KDE and why it's useful, but Michael took care of that part. Instead, I'm going to focus here on comparing the actual implementations of KDE currently available in Python. If you're unsure what kernel density estimation is, read Michael's post and then come back here.
There are several options available for computing kernel density estimates in Python. The question of the optimal KDE implementation for any situation, however, is not entirely straightforward, and depends a lot on what your particular goals are. Here are the four KDE implementations I'm aware of in the SciPy/Scikits stack:
In SciPy:
gaussian_kde
.In Statsmodels:
KDEUnivariate
andKDEMultivariate
(See an example here).In Scikitlearn:
KernelDensity
(See further examples here).
Each has advantages and disadvantages, and each has its area of applicability. I'll start with a table summarizing the strengths and weaknesses of each, before discussing each feature in more detail and running some simple benchmarks to gauge their computational cost:
Bandwidth Selection 
Available Kernels 
Multi dimension 
Heterogeneous data 
FFTbased computation 
Treebased computation 

Scipy  Scott & Silverman 
One (Gauss)  Yes  No  No  No 

Statsmodels KDEUnivariate 
Scott & Silverman 
Seven  1D only  No  Yes  No 
Statsmodels KDEMultivariate 
normal reference crossvalidation 
Seven  Yes  Yes  No  No 
ScikitLearn  None builtin; Cross val. available 
6 kernels x 12 metrics 
Yes  No  No  Ball Tree or KD Tree 
Comparing the Implementations¶
The four implementations mentioned above have very different interfaces. For the sake of the examples and benchmarks below, we'll start by defining a uniform interface to all four, assuming onedimensional input data. The following functions should make clear how the interfaces compare:
from sklearn.neighbors import KernelDensity
from scipy.stats import gaussian_kde
from statsmodels.nonparametric.kde import KDEUnivariate
from statsmodels.nonparametric.kernel_density import KDEMultivariate
def kde_scipy(x, x_grid, bandwidth=0.2, **kwargs):
"""Kernel Density Estimation with Scipy"""
# Note that scipy weights its bandwidth by the covariance of the
# input data. To make the results comparable to the other methods,
# we divide the bandwidth by the sample standard deviation here.
kde = gaussian_kde(x, bw_method=bandwidth / x.std(ddof=1), **kwargs)
return kde.evaluate(x_grid)
def kde_statsmodels_u(x, x_grid, bandwidth=0.2, **kwargs):
"""Univariate Kernel Density Estimation with Statsmodels"""
kde = KDEUnivariate(x)
kde.fit(bw=bandwidth, **kwargs)
return kde.evaluate(x_grid)
def kde_statsmodels_m(x, x_grid, bandwidth=0.2, **kwargs):
"""Multivariate Kernel Density Estimation with Statsmodels"""
kde = KDEMultivariate(x, bw=bandwidth * np.ones_like(x),
var_type='c', **kwargs)
return kde.pdf(x_grid)
def kde_sklearn(x, x_grid, bandwidth=0.2, **kwargs):
"""Kernel Density Estimation with Scikitlearn"""
kde_skl = KernelDensity(bandwidth=bandwidth, **kwargs)
kde_skl.fit(x[:, np.newaxis])
# score_samples() returns the loglikelihood of the samples
log_pdf = kde_skl.score_samples(x_grid[:, np.newaxis])
return np.exp(log_pdf)
kde_funcs = [kde_statsmodels_u, kde_statsmodels_m, kde_scipy, kde_sklearn]
kde_funcnames = ['StatsmodelsU', 'StatsmodelsM', 'Scipy', 'Scikitlearn']
print "Package Versions:"
import sklearn; print " scikitlearn:", sklearn.__version__
import scipy; print " scipy:", scipy.__version__
import statsmodels; print " statsmodels:", statsmodels.__version__
Because several of these are newer functionalities (in particular, the KernelDensity
estimator
was added in version 0.14 of Scikitlearn), I added an explicit printout of the versions used
in running this notebook.
Now that we've defined these interfaces, let's look at the results of the four KDE approaches. We'll start with the normal matplotlib backend command, and then plot visualizations of the four results on the same 1 dimensional bimodal data:
%matplotlib inline
import numpy as np
import matplotlib.pyplot as plt
from scipy.stats.distributions import norm
# The grid we'll use for plotting
x_grid = np.linspace(4.5, 3.5, 1000)
# Draw points from a bimodal distribution in 1D
np.random.seed(0)
x = np.concatenate([norm(1, 1.).rvs(400),
norm(1, 0.3).rvs(100)])
pdf_true = (0.8 * norm(1, 1).pdf(x_grid) +
0.2 * norm(1, 0.3).pdf(x_grid))
# Plot the three kernel density estimates
fig, ax = plt.subplots(1, 4, sharey=True,
figsize=(13, 3))
fig.subplots_adjust(wspace=0)
for i in range(4):
pdf = kde_funcs[i](x, x_grid, bandwidth=0.2)
ax[i].plot(x_grid, pdf, color='blue', alpha=0.5, lw=3)
ax[i].fill(x_grid, pdf_true, ec='gray', fc='gray', alpha=0.4)
ax[i].set_title(kde_funcnames[i])
ax[i].set_xlim(4.5, 3.5)
from IPython.display import HTML
HTML("<font color='#666666'>Gray = True underlying distribution</font><br>"
"<font color='6666ff'>Blue = KDE model distribution (500 pts)</font>")
The results are identical, as we'd expect: all four algorithms are effectively computing the same result by different means.
Features of the Algorithms¶
Given that the results of the algorithms (for 1 dimensinoal data, at least) are essentially equivalent, why would you use one over another? The answer to that lies a bit deeper in the theory of how KDE is computed and applied. Above I showed a table that summarizes some of the advantages and disadvantages of each algorithm: here' I'll discuss a few of those features in a bit more detail:
Bandwidth selection¶
The selection of bandwidth is an important piece of KDE. For the same input data, different bandwidths can produce very different results:
fig, ax = plt.subplots()
for bandwidth in [0.1, 0.3, 1.0]:
ax.plot(x_grid, kde_sklearn(x, x_grid, bandwidth=bandwidth),
label='bw={0}'.format(bandwidth), linewidth=3, alpha=0.5)
ax.hist(x, 30, fc='gray', histtype='stepfilled', alpha=0.3, normed=True)
ax.set_xlim(4.5, 3.5)
ax.legend(loc='upper left')
Using different bandwidths can lead to entirely different ideas of the underlying nature of the data! Given the importance of bandwidth, how might you determine the optimal bandwidth for any given problem?
There are two classes of approaches to this problem: in the statistics community, it is common to use reference rules, where the optimal bandwidth is estimated from theoretical forms based on assumptions about the data distribution. A common reference rule is Silverman's rule, which is derived for univariate KDE and included within both the Scipy and Statsmodels implementations. Other potential reference rules are ones based on Information Criteria, such as the wellknown AIC and BIC.
In the Machine Learning world, the use of reference rules is less common. Instead, an empirical approach such as cross validation is often used. In cross validation, the model is fit to part of the data, and then a quantitative metric is computed to determine how well this model fits the remaining data. Such an empirical approach to model parameter selection is very flexible, and can be used regardless of the underlying data distribution.
Because the various reference rules generally depend on (often dubious) assumptions about the underlying distribution of
the data, bandwidth selection based in crossvalidation can produce more trustworthy results for realworld
datasets. A leaveoneout crossvalidation scheme is builtin to the Statsmodels KDEMultivariate
class.
For large datasets, however, leaveoneout crossvalidation can be extremely slow. Scikitlearn does not
currently provide builtin cross validation within the KernelDensity
estimator, but the standard cross
validation tools within the module can be applied quite easily, as shown in the example below.
Bandwidth CrossValidation in ScikitLearn¶
Using cross validation within Scikitlearn is straightforward with the GridSearchCV
metaestimator:
from sklearn.grid_search import GridSearchCV
grid = GridSearchCV(KernelDensity(),
{'bandwidth': np.linspace(0.1, 1.0, 30)},
cv=20) # 20fold crossvalidation
grid.fit(x[:, None])
print grid.best_params_
According to the crossvalidation score (i.e. the maximum likelihood), the best bandwidth is around 0.19. Let's plot the result:
kde = grid.best_estimator_
pdf = np.exp(kde.score_samples(x_grid[:, None]))
fig, ax = plt.subplots()
ax.plot(x_grid, pdf, linewidth=3, alpha=0.5, label='bw=%.2f' % kde.bandwidth)
ax.hist(x, 30, fc='gray', histtype='stepfilled', alpha=0.3, normed=True)
ax.legend(loc='upper left')
ax.set_xlim(4.5, 3.5);
We see that the crossvalidation yields a bandwidth which is close to what we might choose byeye, and the resulting density estimate closely reflects the distribution of the underlying data.
Kernels¶
Above we've been using the Gaussian kernel, but this is not the only available option. KDE can be used with any kernel function, and different kernels lead to density estimates with different characteristics.
The Scipy KDE implementation contains only the common Gaussian Kernel. Statsmodels contains seven kernels, while Scikitlearn contains six kernels, each of which can be used with one of about a dozen distance metrics, resulting in a very flexible range of effective kernel shapes.
Here is a quick visualization of the six kernel forms available in Scikitlearn. For clarity, the plot_kernels()
function used here is defined at the end of the notebook:
plot_kernels()
The various kernel shapes lead to estimators with very different characteristics. For some examples of these in action, see the Scikitlearn documentation or the AstroML examples.
Heterogeneous Data¶
One advantage that Statsmodels' KDEMultivariate
has over the other algorithms is its
ability to handle heterogeneous data, i.e. a mix of continuous, ordered discrete, and
unordered discrete variables. All of the other implementations require homogeneous
datasets. Though the problem of heterogeneous data is interesting, I won't discuss
it more here. For more details, see the
KDEMultivariate documentation.
FFTbased computation¶
For large datasets, a kernel density estimate can be computed efficiently via the convolution theorem using a fast Fourier transform. This requires binning the data, so the approach quickly becomes inefficient in higher dimensions. Of the four algorithms discussed here, only Statsmodels' KDEUnivariate
implements an FFTbased KDE. As we'll see below, the FFT provides some computational gains for large numbers of points, but in most situations is not as effective as treebased KDE implementations.
Treebased computation¶
For M evaluations of N points, the KDE computation naively requires $\mathcal{O}[MN]$ computations (i.e. a distance computation between each input/output pair). This puts KDE in the same category as Nearest Neighbors, Npoint correlation functions, and Gaussian Process Regression, all of which are examples of Generalized Nbody problems which can be efficiently computed using specialized data structures such as a KD Tree (I discussed spatial trees in the context of nearest neighbors searches in a previous blog post).
The main idea is this: if you can show that a query point $Q_0$ is geometrically far from a set of training points $\{T_i\}$, then you no longer need to compute every kernel weight between $Q_0$ and the points in $\{T_i\}$: it is sufficient to compute one kernel weight at the average distance, and use that as a proxy for the others. With careful consideration of the bounds on the distances and the maximum error tolerance for the final result, it is possible to greatly reduce the number of required operations for a KDE computation.
For the 0.14 release of Scikitlearn, I wrote an efficient KDE implementation built on a KD Tree and a Ball Tree. By setting the parameters rtol
(relative tolerance) and atol
(absolute tolerance), it is possible to compute very fast approximate kernel density estimates at any desired degree of accuracy. The final result $p$ is algorithmically guaranteed to satisfy
This scheme effectively sets up a tradeoff between computation time and accuracy. As we'll see below, even marginal reduction in accuracy (say, allowing errors of 1 part in $10^8$) can lead to impressive gains in computational efficiency.
Computational Efficiency¶
Next comes the fun part: comparing the computational efficiency of the various algorithms. Here we'll look at the computation time as a function of the number of points in the distribution for a 1dimensional case. As noted above, several of the algorithms also implement multidimensional computations: the scaling with the number of points should not change appreciably in the multidimensional case.
Here and throughout, we will compute the KDE for 5000 query points. For clarity, the
plot_scaling
function used here is defined at the end of the notebook: if you
download and run this notebook, please scroll down and execute that cell first.
Scaling with the Number of Points¶
First we'll look at the scaling with the number of points in the input distribution, spread from 10 points to 10,000 points:
plot_scaling(N=np.logspace(1, 4, 10),
kwds={'StatsmodelsU':{'fft':False}});
The SciPy
algorithm (red line) exhibits the expected $\mathcal{O}[N]$ scaling for
a naive KDE implementation. The treebased implementation in scikitlearn is slightly
better for a large number of points (for small datasets, the overhead of building the
tree dominates). Both statsmodels implementations are appreciably slower: in particular,
the KDEMultivariate
implementation displays a relatively large computational overhead.
However, these benchmarks are not entirely fair to the Statsmodels Univariate algorithm
or to the Scikitlearn algorithm. For KDEUnivariate
, we have not used the FFT version
of the calculation; for Scikitlearn, we've set rtol
and atol
to zero, effectively
asking the algorithm for a perfectly precise computation which allows very few tree nodes
to be trimmed from the calculation.
Let's change this, and use the FFT computation for statsmodels, and set rtol=1E4
for
scikitlearn. The latter setting says that we want a faster computation, at the expense of
accepting a 0.01% error in the final result:
plot_scaling(N=np.logspace(1, 4, 10),
rtol=1E4,
kwds={'StatsmodelsU':{'fft':True}});
The FFT computation significantly speeds the statsmodels univariate computation in the case of large numbers of points. The real winner here, though, is the Scikitlearn implementation: by allowing errors of 1 part in 10,000, we've sped the computation for the largest datasets by an additional factor of 5 or so, making it an order of magnitude faster than the next best algorithm!
Dependence on rtol
¶
You might wonder what the effect of rtol
is on the speed of the computation.
In most situations for the scikitlearn estimator, increasing rtol
will directly
lead to an increase in computational efficiency, as distant tree nodes are able to be
trimmed earlier in the computation.
To illustrate this, we'll plot the computation time as a function of rtol
, from
$1$ part in $10^{16}$ (effectively the floating point precision on 64bit machines)
all the way up to $1$ part in $10$ (i.e. 10% error on the results):
plot_scaling(N=1E4,
rtol=np.logspace(16, 1, 10),
bandwidth=0.2);
This plot displays the direct tradeoff between precision and efficiency enabled by Scikitlearn's treebased algorithms.
Any variation in the timing for the other algorithms is simply statistical noise: they cannot take advantage of rtol
.
Dependence on Bandwidth¶
One somewhat counterintuitive effect of the treebased approximate KDE is that the bandwidth becomes an important consideration in the time for computation. This is because the bandwidth effectively controls how "close" points are to each other.
When points are very far apart in relation to the kernel size, their contribution to the density is very close to zero. In this range, whole groups of such points can be removed from the computation. When points are very close together in relation to the kernel size, the distance is effectively zero, and whole groups of such points in the tree can be considered, as a group, to contribute the maximal kernel contribution.
The treebased KDE computation in Scikitlearn takes advantage of these situations, leading to a strong dependence of computation time on the bandwidth: for very small and very large bandwidths, it is fast. For bandwidths somewhere in the middle, it can be slower than other algorithms, primarily due to the computational overhead of building and traversing the tree:
plot_scaling(N=1E4, rtol=1E4,
bandwidth=np.logspace(4, 3, 10));
Fortunately the inefficient bandwidths are generally too large to be useful in practice, and bandwidths in the faster range are favorable for most problems.
Notice that only the Scikitlearn results depend strongly on the bandwidth: the other implementations have constant computation time to within random errors. This is due to the treebased KDE implementation used by Scikitlearn, for the reasons discussed above. The optimal bandwidth near 0.15 lies in a region of relatively fast computation, especially compared to the alternate algorithms.
Dependence on Kernel¶
As you might expect, the same principles that lead to the dependence of computation time on bandwidth
also lead to a dependence of computation time on the kernel shape used. For faraway points, some
kernels have weights much closer to zero than others: in the case of kernels with "hard" cutoffs (such as the
tophat kernel), distant points contribute exactly zero to the density, and thus the speedup will be
realized even if rtol
and atol
are zero.
At the opposite extreme, for points which are very close compared to the kernel size, Kernels which are very "flat" (e.g. the tophat kernel) will allow whole groups of points to be considered at once, while kernels which are less flat (e.g. the linear or exponential kernel) will not admit such efficiencies.
We can see this below: here we'll plot the computation time as a function of kernel width for the Scikitlearn implementation, using several kernels:
plot_scaling_vs_kernel(kernels=['tophat', 'linear', 'exponential', 'gaussian'],
bandwidth=np.logspace(4, 3, 10),
N=1E4, rtol=1E4);
Notice the two regions of interest: for very small bandwidths, kernels with a hard cutoff (tophat, linear) outperform kernels with a broad taper (gaussian, exponential). And tapered kernels which fall off more quickly (gaussian, with $p \sim \exp(d^2)$) are more efficiently computed than kernels which fall off more slowly (exponential, with $p \sim \exp(d)$).
At the other end, kernels with very flat profiles near zero (tophat, gaussian) show improvement for large bandwidths, while kernels with very steep profiles near zero (linear, exponential) show no improvement: they reach the asymptotic limit in which all of the $\mathcal{O}[MN]$ distances must be computed.
For good measure, here are the scalings of the computations with rtol
and with N:
plot_scaling_vs_kernel(kernels=['tophat', 'linear', 'exponential', 'gaussian'],
bandwidth=0.15, N=1E4, rtol=np.logspace(16, 1, 10));
As we'd expect, for a reasonable kernel size, rtol
is not significant for kernels with a
hard cutoff, and becomes more significant the wider the "wings" of the kernel are.
The scaling with N is also as we'd expect:
plot_scaling_vs_kernel(kernels=['tophat', 'linear', 'exponential', 'gaussian'],
bandwidth=0.15, rtol=1E4, N=np.logspace(1, 4, 10));
This dependence of computation time on bandwidth and kernel shape is an issue to keep in mind as you choose your KDE algorithm: in the case of treebased approaches, the bandwidth and kernel can matter to the tune of several orders of magnitude in computation time!
Conclusion¶
I hope all this has been helpful to you: my main takeaway is that under most situations that are applicable to my own research, the Scikitlearn KDE is far superior to the other implementations that are available. There are situations where other choices are appropriate (namely, Statsmodels' KDEMultivariate
when your data is heterogeneous, or Scipy's gaussian_kde
for exact results with fewer than about 500 points), but scikitlearn will be much faster for most other relevant settings.
Finally, here are some of the functions I used to generate the above plots. If you download this notebook, you'll have to execute this cell before running any of the above cells that use these:
import matplotlib
from collections import defaultdict
from time import time
functions = dict(zip(kde_funcnames, kde_funcs))
def plot_scaling(N=1000, bandwidth=0.1, rtol=0.0,
Nreps=3, kwds=None, xgrid=None):
"""
Plot the time scaling of KDE algorithms.
Either N, bandwidth, or rtol should be a 1D array.
"""
if xgrid is None:
xgrid = np.linspace(10, 10, 5000)
if kwds is None:
kwds=dict()
for name in functions:
if name not in kwds:
kwds[name] = {}
times = defaultdict(list)
B = np.broadcast(N, bandwidth, rtol)
assert len(B.shape) == 1
for N_i, bw_i, rtol_i in B:
x = np.random.normal(size=N_i)
kwds['Scikitlearn']['rtol'] = rtol_i
for name, func in functions.items():
t = 0.0
for i in range(Nreps):
t0 = time()
func(x, xgrid, bw_i, **kwds[name])
t1 = time()
t += (t1  t0)
times[name].append(t / Nreps)
fig, ax = plt.subplots(figsize=(8, 6),
subplot_kw={'axisbg':'#EEEEEE',
'axisbelow':True})
ax.grid(color='white', linestyle='', linewidth=2)
plot_kwds={'linewidth':3, 'alpha':0.5}
if np.size(N) > 1:
for name in kde_funcnames:
ax.loglog(N, times[name], label=name, **plot_kwds)
ax.set_xlabel('Number of points')
elif np.size(bandwidth) > 1:
for name in kde_funcnames:
ax.loglog(bandwidth, times[name], label=name, **plot_kwds)
ax.set_xlabel('Bandwidth')
elif np.size(rtol) > 1:
for name in kde_funcnames:
ax.loglog(rtol, times[name], label=name, **plot_kwds)
ax.set_xlabel('Relative Tolerance')
for spine in ax.spines.values():
spine.set_color('#BBBBBB')
ax.legend(loc=0)
ax.set_ylabel('time (seconds)')
ax.set_title('Execution time for KDE '
'({0} evaluations)'.format(len(xgrid)))
return times
def plot_scaling_vs_kernel(kernels, N=1000, bandwidth=0.1, rtol=0.0,
Nreps=3, kwds=None, xgrid=None):
"""
Plot the time scaling for Scikitlearn kernels.
Either N, bandwidth, or rtol should be a 1D array.
"""
if xgrid is None:
xgrid = np.linspace(10, 10, 5000)
if kwds is None:
kwds=dict()
times = defaultdict(list)
B = np.broadcast(N, bandwidth, rtol)
assert len(B.shape) == 1
for N_i, bw_i, rtol_i in B:
x = np.random.normal(size=N_i)
for kernel in kernels:
kwds['kernel'] = kernel
kwds['rtol'] = rtol_i
t = 0.0
for i in range(Nreps):
t0 = time()
kde_sklearn(x, xgrid, bw_i, **kwds)
t1 = time()
t += (t1  t0)
times[kernel].append(t / Nreps)
fig, ax = plt.subplots(figsize=(8, 6),
subplot_kw={'axisbg':'#EEEEEE',
'axisbelow':True})
ax.grid(color='white', linestyle='', linewidth=2)
plot_kwds={'linewidth':3, 'alpha':0.5}
if np.size(N) > 1:
for kernel in kernels:
ax.loglog(N, times[kernel], label=kernel, **plot_kwds)
ax.set_xlabel('Number of points')
elif np.size(bandwidth) > 1:
for kernel in kernels:
ax.loglog(bandwidth, times[kernel], label=kernel, **plot_kwds)
ax.set_xlabel('Bandwidth')
elif np.size(rtol) > 1:
for kernel in kernels:
ax.loglog(rtol, times[kernel], label=kernel, **plot_kwds)
ax.set_xlabel('Relative Tolerance')
for spine in ax.spines.values():
spine.set_color('#BBBBBB')
ax.legend(loc=0)
ax.set_ylabel('time (seconds)')
ax.set_title('Execution time for KDE '
'({0} evaluations)'.format(len(xgrid)))
return times
def plot_kernels():
"""Visualize the KDE kernels available in Scikitlearn"""
fig, ax = plt.subplots(figsize=(8, 6),
subplot_kw={'axisbg':'#EEEEEE',
'axisbelow':True})
ax.grid(color='white', linestyle='', linewidth=2)
for spine in ax.spines.values():
spine.set_color('#BBBBBB')
X_src = np.zeros((1, 1))
x_grid = np.linspace(3, 3, 1000)
for kernel in ['gaussian', 'tophat', 'epanechnikov',
'exponential', 'linear', 'cosine']:
log_dens = KernelDensity(kernel=kernel).fit(X_src).score_samples(x_grid[:, None])
ax.plot(x_grid, np.exp(log_dens), lw=3, alpha=0.5, label=kernel)
ax.set_ylim(0, 1.05)
ax.set_xlim(2.9, 2.9)
ax.legend()