new method: fastKDE
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tbeason commented
I know, not nice to just drop in and suggest a new method, but I think this one looks promising.
It's called fastKDE. It combines bandwidth selection and density estimation, and it uses FFT to speed things up. It looks very impressive in the published papers. Works for multivariate densities in low dimensions.
Link https://pypi.org/project/fastkde/
Paper link https://www.sciencedirect.com/science/article/pii/S0167947316300408
ParadaCarleton commented
Would definitely love to see this implemented; I currently need something like this (in terms of performance) for an application where I want to bootstrap KDEs. If reimplementing it is too difficult (wouldn't be surprised) just a wrapper would be more than enough.