Python: Generate random values from empirical distribution

Question

In Java, I usually rely on the org.apache.commons.math3.random.EmpiricalDistribution class to do the following:

• Derive a probability distribution from observed

Answer 1

import numpy as np
import scipy.stats
import matplotlib.pyplot as plt

# This represents the original "empirical" sample -- I fake it by
# sampling from a normal distribution
orig_sample_data = np.random.normal(size=10000)

# Generate a KDE from the empirical sample
sample_pdf = scipy.stats.gaussian_kde(orig_sample_data)

# Sample new datapoints from the KDE
new_sample_data = sample_pdf.resample(10000).T[:,0]

# Histogram of initial empirical sample
cnts, bins, p = plt.hist(orig_sample_data, label='original sample', bins=100,
                         histtype='step', linewidth=1.5, density=True)

# Histogram of datapoints sampled from KDE
plt.hist(new_sample_data, label='sample from KDE', bins=bins,
         histtype='step', linewidth=1.5, density=True)

# Visualize the kde itself
y_kde = sample_pdf(bins)
plt.plot(bins, y_kde, label='KDE')
plt.legend()
plt.show(block=False)

new_sample_data should be drawn from roughly the same distribution as the original data (to the degree that the KDE is a good approximation to the original distribution).