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// Copyright (C) 2020 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef FASTCDFONSAMPLE_H
#define FASTCDFONSAMPLE_H
/** \file fastCDFOnSample.h
* \brief Calculate CDF with fast divide and conquer in Langrené-Warin 2020 :
* "Fast multivariate empirical cumulative distribution function with connection to kernel density estimation"
* The CDF estimated at the sample points
* \author Xavier Warin
*/
namespace StOpt
{
/// \brief Calculate fast CDF
/// \param p_x particules (sample) size : (dimension, nbSim)
/// \param p_y estimate for each p_x point
/// \return for each point of the grid return the CDF
Eigen::ArrayXd fastCDFOnSample(const Eigen::ArrayXXd &p_x, const Eigen::ArrayXd &p_y);
}
#endif /* FASTCDFONSAMPLE_H */
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