Speed up sampling of kernel estimate

Question

Here\'s a MWE of a much larger code I\'m using. Basically, it performs a Monte Carlo integration over a KDE (kernel density estimate) for all values located bel

Answer 1

The claim in the comments section of this article (link below) is

"SciPy’s gaussian_kde doesn’t use FFT, while there is a statsmodels implementation that does"

…which is a possible cause of the observed poor performance. It goes on to report orders of magnitude improvement using FFT. See @jseabold's reply.

http://slendrmeans.wordpress.com/2012/05/01/will-it-python-machine-learning-for-hackers-chapter-2-part-1-summary-stats-and-density-estimators/

Disclaimer: I have no experience with statsmodels or scipy.