Kernel density estimation is a method of estimating the probability distribution of a random variable based on a random sample. In contrast to a histogram, kernel density estimation produces a smooth estimate. The smoothness can be tuned via the kernel’s bandwidth parameter. With the correct choice of bandwidth, important features of the distribution can be seen, while an incorrect choice results in undersmoothing or oversmoothing and obscured features.
This example shows a histogram and a kernel density estimation for times between eruptions of Old Faithful Geyser in Yellowstone National Park, taken from R’s
faithful dataset. The data follow a bimodal distribution; short eruptions are followed by a wait time averaging about 55 minutes, and long eruptions by a wa