Non-parametric density estimation has broad applications in computational nance especially in cases where high frequency data are available. However, the technique is often intractable , given the run times necessary to evaluate a density. We present a new and eecient algorithm based on multipole techniques. Given the n kernels that estimate the density, current methods take O(n) time to direct...

Non-parametric density estimation has broad applications in computational nance especially in cases where high frequency data are available. However, the technique is often intractable , given the run times necessary to evaluate a density. We present a new and eecient algorithm based on multipole techniques. Given the n kernels that estimate the density, current methods take O(n) time to direct...