Thats a good idea. I'll give it a try. I tried something similar but using kernels with different bandwidths instead of the GPD.

yeshttp://en.wikipedia.org/wiki/Multivariate_kernel_density_estimation

<r>Hi noah977, About the distribution, take a look at kernel density estimation (aka parzen windows). Is going to allow you to fit a density without any assumption on the distribution (the data has to be i.i.d though) . You still are going to have to calibrate the so called bandwidth, but if you hav...