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Framework for conditional density estimation

# Conditional Density Estimation (CDE)

## Description

Implementations of various methods for conditional density estimation

• Parametric neural network based methods
• Mixture Density Network (MDN)
• Kernel Mixture Network (KMN)
• Normalizing Flows (NF)
• Nonparametric methods
• Conditional Kernel Density Estimation (CKDE)
• Neighborhood Kernel Density Estimation (NKDE)
• Semiparametric methods
• Least Squares Conditional Density Estimation (LSKDE)

Beyond estimating conditional probability densities, the package features extensive functionality for computing:

• Centered moments: mean, covariance, skewness and kurtosis
• Statistical divergences: KL-divergence, JS-divergence, Hellinger distance
• Percentiles and expected shortfall

## Installation

To use the library, you can directly use the python package index:

```pip install cde
```

or clone the GitHub repository and run

```pip install .
```

Note that the package only supports tensorflow versions between 1.4 and 1.7.

## Documentation and paper

See the documentation here. A paper on best practices and benchmarks on conditional density estimation with neural networks that makes extensive use of this library can be found here.

## Usage

The following code snipped holds an easy example that demonstrates how to use the cde package.

```from cde.density_simulation import SkewNormal
from cde.density_estimator import KernelMixtureNetwork
import numpy as np

""" simulate some data """
density_simulator = SkewNormal(random_seed=22)
X, Y = density_simulator.simulate(n_samples=3000)

""" fit density model """
model = KernelMixtureNetwork("KDE_demo", ndim_x=1, ndim_y=1, n_centers=50,
x_noise_std=0.2, y_noise_std=0.1, random_seed=22)
model.fit(X, Y)

""" query the conditional pdf and cdf """
x_cond = np.zeros((1, 1))
y_query = np.ones((1, 1)) * 0.1
prob = model.pdf(x_cond, y_query)
cum_prob = model.cdf(x_cond, y_query)

""" compute conditional moments & VaR  """
mean = model.mean_(x_cond)
std = model.std_(x_cond)
skewness = model.skewness(x_cond)
```

## Citing

If you use CDE in your research, you can cite it as follows:

``````@article{rothfuss2019conditional,
title={Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks},
author={Rothfuss, Jonas and Ferreira, Fabio and Walther, Simon and Ulrich, Maxim},
journal={arXiv:1903.00954},
year={2019}
}

``````

## Todo

• creating a branch just for our conditional estimators + python package

## Release history Release notifications | RSS feed

This version 0.6.1 0.5.1 0.5 0.2.0.1 0.2.0 0.1.9 0.1.8 0.1.7 0.1.6 0.1.5 0.1.4 0.1.3 0.1.2 0.1.1 0.1 0.0.5

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