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AverageShiftedHistograms

Lightning fast density estimation in Julia.

An Averaged Shifted Histogram (ASH) is essentially Kernel Density Estimation over a fine-partition histogram. ASH only requires constant memory and can be constructed on-line, allowing you to estimate distributions for arbitrarily big data.

Quickstart:

import Pkg

Pkg.add("AverageShiftedHistograms")

using AverageShiftedHistograms

ash(randn(10^6))