Kernel density estimation

Goal: Estimate the probability distriubtion of a random variable.

Motivation: In classical statitics it is assumed that statistical phenomen follow a particular probability distribution which realize as sample. In non-parametric statistics method are applied to identify the original distribution based on a sample.

Discrete method: Histogram Continues methods: Use KDE. Consistent and continous estimator of the denisty based on a sequence of densities.