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It's not possible today. It's probably not easy, but not very hard either if the paper is clear and good. It will require refactoring parts of the library to extend current functionality. Perhaps a new class is the way to go.
Thanks for the link to the paper, I was not aware of it.
I won't investigate this myself, but I will accept a pull request for this if the resulting code is clean and good.
Hi, I wonder if it's possible to use a user-specified bandwidth matrix for bivariate FFTKDE? Is it easy to modify the code to achieve this? Thanks.
Edit: I should introduce this paper on FFTKDE for non-diagonal bandwidth matrices:
https://www.tandfonline.com/doi/full/10.1080/10618600.2016.1182918
or the open access version:
https://arxiv.org/abs/1508.02766
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