Statistical Computing with R

Chapter 10

Probability Density Estimation

Density estimation is a collection of methods for constructing an estimate of a probability density, as a function of an observed sample of data. In previous chapters, we have used density estimation informally to describe the distribution of data. A histogram is a type of density estimator. Another type of density estimator is provided in the R function density. As explained in the following sections, density computes kernel density estimates.

Several methods of density estimation are discussed in the literature. In this chapter we restrict attention to nonparametric density estimation. A density estimation problem requires a nonparametric approach if we have no information about the target distribution ...