Density Estimation

Given some experimental data ${\mbox{\boldmath$x$}} = \{x_1, x_2, \ldots, x_n\}$, assumed to be a random sample from some distribution (i.e. values of $g({\mbox{\boldmath$\theta$}})$ or $y$), the problem is estimating the probability density function (pdf), $f_X(\cdot)$. This density estimation problem has had much attention in recent papers. Books by Scott (1992), Silverman (1986) or Wand and Jones (1995) provide a good overview of the field.