Integrate 2D kernel density estimate

Question

I have a x,y distribution of points for which I obtain the KDE through scipy.stats.gaussian_kde. This is my code and how the output looks (the

Answer 1

Here is a way to do it using monte carlo integration. It is a little slow, and there is randomness in the solution. The error is inversely proportional to the square root of the sample size, while the running time is directly proportional to the sample size (where sample size refers to the monte carlo sample (10000 in my example below), not the size of your data set). Here is some simple code using your kernel object.

#Compute the point below which to integrate
iso = kernel((x1,y1))

#Sample from your KDE distribution
sample = kernel.resample(size=10000)

#Filter the sample
insample = kernel(sample) < iso

#The integral you want is equivalent to the probability of drawing a point 
#that gets through the filter
integral = insample.sum() / float(insample.shape[0])
print integral

I get approximately 0.2 as the answer for your data set.