TradingView
RicardoSantos
4 Apr 2021 pukul 21.27

Function - Kernel Density Estimation (KDE) 

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Huraian

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"In statistics, kernel density estimation (KDE) is a non-parametric way to estimate the probability density function of a random variable."
from wikipedia.com

KDE function with optional kernel:
  • Uniform
  • Triangle
  • Epanechnikov
  • Quartic
  • Triweight
  • Gaussian
  • Cosinus


Republishing due to change of function.
deprecated script: tradingview.com/script/vWOxbhhj-KDE-Gaussian/

Nota Keluaran

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added quartic and triweight kernels.

Nota Keluaran

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  • added placeholder for kernels(logistic, sigmoid, silverman)
  • added kernel calculations for kernel(uniform, triangular, cosine)

Nota Keluaran

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added calculations for kernels(logistic, sigmoid and silverman(Not working atm)

Nota Keluaran

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removed silverman kernel, added highest value index line/label, nearest to 0 index as a dotted gray line.

Nota Keluaran

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added extra stats/visuals to drawing function.
Trend Analysisfunctionkernelkdeestimation
Komen
kakola
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That bandwidth is phire. 🔥
*phi*re
Yelian
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Is it just me or does the script provide the same output regardless of the chart symbol?
Yelian
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Can someone please provide some tips on how one may use this awesome script?
kakola
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Can be updated to use pinescript's new "switch" function.
RicardoSantos
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@kakola, this is now deprecated, V5 library version can be found here:
tradingview.com/script/oTcbPUuo-MathStatisticsKernelDensityEstimation/
THE_REAL_BCT
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Nice little script... With one point I don't quite see how it works. Supposedly arrays can store up to 100K items. For whatever reason, I can't get more than 7 or 8 floats pushed into a float array or Pine blows up. So... That's not a whole lot of obs to infer a pdf

As a matter of fact I see you have 7 obs preloaded.

How do you load up obs beyond 7 ?

I have an idea for how to circumvent that limitations (using int array - altho I think they blow up at 50 or so) but want to see if you have something better? or maybe it's just a user/noob error and none of you guys see this problem?
RicardoSantos
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@hypercrush1, yes the high complexity of the script limits its utility alot, unfortunely..
THE_REAL_BCT
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@RicardoSantos, gotit. thanks. Love the code you produce!

BTW I just tried a script that does nothing else than push 'close' into a float array... then do 2 things (sequentially)
1/ ping array.size and display it, and it returns 1300+ or so - scrip executes fine
2/ get item before last pushed on the array/stack - Pine pukes. Error message "array size = 1" (so it looks like pine lied in 1/ and all along!)

Is that a Pine bug? or feature?
THE_REAL_BCT
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@THE_REAL_BCT, Ignore the last comment - user error ;)
KB0006
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Thanks for sharing this, I've been trying to find an indicator that uses kernel method and this seems to be the only one! Though I don't quite understand what those numbers suggest. Can you explain it to a dummy like myself? lol
Lebih