This is the frist time to perform KDE in R with data which has more than 5 variables for me for anomaly detection.

As far as I know that KDE is performable for multidimensional data but I couldn’t find examples which using more than 5 dimensional data.

I’m using data which have ‘age’, ‘trestbps’, ‘chol’, ‘thalach’, and ‘oldpeak’ 5 variables as like below.

'data.frame':   176 obs. of  5 variables:
$ age     : int  30 50 50 50 50 60 50 40 50 40 ...
$ trestbps: int  130 130 130 130 130 130 130 130 130 130 ...
$ chol    : int  198 245 221 288 205 309 240 243 289 250 ...
$ thalach : int  130 166 164 159 184 131 154 152 124 179 ...
$ oldpeak : num  1.6 2.4 0 0.2 0 1.8 0.6 0 1 0 ...

I performed KDE for those data, with the approach as like below, but I’m not sure it is correct approach, and proper result.

evpts <- do.call(expand.grid, lapply(df3, quantile, prob = c(0.1,.25,.5,.75,.9)))

hat2 <- kde(df3, eval.points = evpts)



> str(hat2)
List of 9
 $ x          : num [1:176, 1:5] 30 50 50 50 50 60 50 40 50 40 ...
  ..- attr(*, "dimnames")=List of 2
  .. ..$ : NULL
  .. ..$ : chr [1:5] "age" "trestbps" "chol" "thalach" ...
 $ eval.points:'data.frame':    3125 obs. of  5 variables:
  ..$ age     : Named num [1:3125] 40 40 50 60 60 40 40 50 60 60 ...
  .. ..- attr(*, "names")= chr [1:3125] "10%" "25%" "50%" "75%" ...
  ..$ trestbps: Named num [1:3125] 108 108 108 108 108 112 112 112 112 112 ...
  .. ..- attr(*, "names")= chr [1:3125] "10%" "10%" "10%" "10%" ...
  ..$ chol    : Named num [1:3125] 194 194 194 194 194 194 194 194 194 194 ...
  .. ..- attr(*, "names")= chr [1:3125] "10%" "10%" "10%" "10%" ...
  ..$ thalach : Named num [1:3125] 114 114 114 114 114 ...
  .. ..- attr(*, "names")= chr [1:3125] "10%" "10%" "10%" "10%" ...
  ..$ oldpeak : Named num [1:3125] 0 0 0 0 0 0 0 0 0 0 ...
  .. ..- attr(*, "names")= chr [1:3125] "10%" "10%" "10%" "10%" ...
  ..- attr(*, "out.attrs")=List of 2
  .. ..$ dim     : Named int [1:5] 5 5 5 5 5
  .. .. ..- attr(*, "names")= chr [1:5] "age" "trestbps" "chol" "thalach" ...
  .. ..$ dimnames:List of 5
  .. .. ..$ age     : chr [1:5] "age=40" "age=40" "age=50" "age=60" ...
  .. .. ..$ trestbps: chr [1:5] "trestbps=108" "trestbps=112" "trestbps=120" "trestbps=128" ...
  .. .. ..$ chol    : chr [1:5] "chol=194.00" "chol=211.00" "chol=244.00" "chol=283.75" ...
  .. .. ..$ thalach : chr [1:5] "thalach=113.50" "thalach=128.25" "thalach=150.00"     "thalach=164.00" ...
  .. .. ..$ oldpeak : chr [1:5] "oldpeak=0.0" "oldpeak=0.0" "oldpeak=0.8" "oldpeak=1.8" ...
 $ estimate   : Named num [1:3125] 5.64e-12 5.64e-12 2.85e-09 7.76e-10 7.76e-10 ...
  ..- attr(*, "names")= chr [1:3125] "1" "2" "3" "4" ...
 $ H          : num [1:5, 1:5] 6.972 0.866 5.065 -6.541 0.189 ...
 $ gridded    : logi FALSE
 $ binned     : logi FALSE
 $ names      : chr [1:5] "age" "trestbps" "chol" "thalach" ...
 $ w          : num [1:176] 1 1 1 1 1 1 1 1 1 1 ...
 $ type       : chr "kde"
 - attr(*, "class")= chr "kde"

If it is not proper approach, could you please help me to get correct approach?

Thank you for your support.