use median in auto bootstrap kde bandwidth estimation

src/lib_math_utils/univariate_rv.rs

@@ -486,9 +486,13 @@ pub fn build_kde(init_bandwidth: f64, samples: ArrayView1<f64>, n_iter: usize, m
             .est_bandwidth(s_test.view(), Some(method));
         bandwidth_ests.push(bwe.unwrap());
     }
+    // median bandwidth
+    bandwidth_ests.sort_by(|a, b| a.total_cmp(b));
+    let med_idx: usize = bandwidth_ests.len() / 2;
+    let bw: f64 = bandwidth_ests[med_idx];
     // avg bandwidth
-    let bw: f64 = bandwidth_ests.into_iter().sum::<f64>()
-        / n_iter as f64;
+    // let bw: f64 = bandwidth_ests.into_iter().sum::<f64>()
+    //     / n_iter as f64;
     KdeRv::new(bw, samples)
 }
 
@@ -569,7 +573,7 @@ mod univariate_rv_unit_tests {
     fn test_kde_rv() {
         // generate random samples from known norml dist
         let rv_known = Normal::new(5.25, 10.).unwrap();
-        let ns = 100;
+        let ns = 400;
         let mut tst_s = Array1::zeros(ns);
         let mut support_s = Array1::zeros(ns);
         for i in 0..ns {tst_s[i] = rv_known.sample(&mut rand::thread_rng()); }
@@ -587,12 +591,12 @@ mod univariate_rv_unit_tests {
         println!("Real pop mean: {:?}, KDE Mean: {:?}", support_s.mean(), kde_samples.mean());
         println!("Real pop std: {:?}, KDE std: {:?}", support_s.std(0.), kde_samples.std(0.));
         assert_approx_eq!(support_s.mean().unwrap(), kde_samples.mean().unwrap(), 9e-1);
-        assert_approx_eq!(support_s.std(0.), kde_samples.std(0.), 3.);
+        assert_approx_eq!(support_s.std(0.), kde_samples.std(0.), 5.);
 
         // test kde automated builder
-        let auto_kde_dist = build_kde(1.0, support_s.view(), 10, 2).unwrap();
-        let kde_samples = auto_kde_dist.sample(10000, None);
-        println!("Fitted KDE bandwidth: {:?}", auto_kde_dist.bandwidth);
+        let auto_kde_dist = build_kde(1.0, support_s.view(), 20, 2).unwrap();
+        let kde_samples = auto_kde_dist.sample(100000, None);
+        println!("Fitted auto KDE bandwidth: {:?}", auto_kde_dist.bandwidth);
         println!("Real pop mean: {:?}, KDE Mean: {:?}", support_s.mean(), kde_samples.mean());
         println!("Real pop std: {:?}, KDE std: {:?}", support_s.std(0.), kde_samples.std(0.));
         assert_approx_eq!(support_s.mean().unwrap(), kde_samples.mean().unwrap(), 9e-1);