Density Estimation Including Examples

Abstract In this brief review, we focus on nonparametric density estimation, a well‐established methodology that has found many applications over the last 60 years. Density estimation includes the time‐honored methods of histograms and kernel density estimation. Several other nonparametric approaches, such as penalized maximum likelihood and density estimation via nonparametric regression, are also reviewed. We include some illustrative examples for one‐dimensional and multivariate density estimation and discuss various extensions.