[R] Computing inverse cdf (quantile function) from a KDE

firdaus.janoos
Wed, 11 Jul 2012 14:33:30 -0000

Hello,

I wanted to know if there is a simple way of getting the inverse cdf for a
KDE estimate of a density (using the ks or KernSmooth packages) in R ?

The method I'm using now is to perform a numerical integration of the pdf
to get the cdf and then doing a search for the desired probablity value,
which is highly inefficient and very slow.

Thanks,
-fj

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