In statistics, kernel density estimation (KDE) is the application of kernel smoothing for probability density estimation, i.e., a non-parametric method to estimate the probability density function of a random variable based on kernels as weights. KDE answers a fundamental data smoothing problem where inferences about the population are made based on a finite data sample. In some fields such as signal processing and econometrics it is also termed the Parzen–Rosenblatt window method, after Emanuel Parzen and Murray Rosenblatt, who are usually credited with independently creating it in its current form. One of the famous applications of kernel density estimation is in estimating the class-conditional marginal densities of data when using a naive Bayes classifier, which can improve its prediction accuracy.

Let (x₁, x₂, ..., x_n) be independent and identically distributed samples drawn from some univariate distribution with an unknown density f at any given point x. We are interested in estimating the shape of this function f. Its kernel density estimator is $${\displaystyle {\hat {f}}_{h}(x)={\frac {1}{n}}\sum _{i=1}^{n}K_{h}(x-x_{i})={\frac {1}{nh}}\sum _{i=1}^{n}K{\left({\frac {x-x_{i}}{h}}\right)},}$$ where K is the kernel — a non-negative function — and h > 0 is a smoothing parameter called the bandwidth or simply width. A kernel with subscript h is called the scaled kernel and defined as K_h(x) = ⁠1/h⁠ K(⁠x/h⁠). Intuitively one wants to choose h as small as the data will allow; however, there is always a trade-off between the bias of the estimator and its variance. The choice of bandwidth is discussed in more detail below.

A range of kernel functions are commonly used: uniform, triangular, biweight, triweight, Epanechnikov (parabolic), normal, and others. The Epanechnikov kernel is optimal in a mean square error sense, though the loss of efficiency is small for the kernels listed previously. Due to its convenient mathematical properties, the normal kernel is often used, which means K(x) = ϕ(x), where ϕ is the standard normal density function. The kernel density estimator then becomes $${\displaystyle {\hat {f}}_{h}(x)={\frac {1}{nh\sigma }}{\frac {1}{\sqrt {2\pi }}}\sum _{i=1}^{n}\exp \left({\frac {-(x-x_{i})^{2}}{2h^{2}\sigma ^{2}}}\right),}$$ where ${\displaystyle \sigma }$ is the standard deviation of the sample ${\displaystyle {\vec {x}}}$.

The construction of a kernel density estimate finds interpretations in fields outside of density estimation. For example, in thermodynamics, this is equivalent to the amount of heat generated when heat kernels (the fundamental solution to the heat equation) are placed at each data point locations x_i. Similar methods are used to construct discrete Laplace operators on point clouds for manifold learning (e.g. diffusion map).

Kernel density estimates are closely related to histograms, but can be endowed with properties such as smoothness or continuity by using a suitable kernel. The diagram below based on these 6 data points illustrates this relationship:

For the histogram, first, the horizontal axis is divided into sub-intervals or bins which cover the range of the data: In this case, six bins each of width 2. Whenever a data point falls inside this interval, a box of height 1/12 is placed there. If more than one data point falls inside the same bin, the boxes are stacked on top of each other.

For the kernel density estimate, normal kernels with a standard deviation of 1.5 (indicated by the red dashed lines) are placed on each of the data points x_i. The kernels are summed to make the kernel density estimate (solid blue curve). The smoothness of the kernel density estimate (compared to the discreteness of the histogram) illustrates how kernel density estimates converge faster to the true underlying density for continuous random variables.

The bandwidth of the kernel is a free parameter which exhibits a strong influence on the resulting estimate. To illustrate its effect, we take a simulated random sample from the standard normal distribution (plotted at the blue spikes in the rug plot on the horizontal axis). The grey curve is the true density (a normal density with mean 0 and variance 1). In comparison, the red curve is undersmoothed since it contains too many spurious data artifacts arising from using a bandwidth h = 0.05, which is too small. The green curve is oversmoothed since using the bandwidth h = 2 obscures much of the underlying structure. The black curve with a bandwidth of h = 0.337 is considered to be optimally smoothed since its density estimate is close to the true density. An extreme situation is encountered in the limit ${\displaystyle h\to 0}$ (no smoothing), where the estimate is a sum of n delta functions centered at the coordinates of analyzed samples. In the other extreme limit ${\displaystyle h\to \infty }$ the estimate retains the shape of the used kernel, centered on the mean of the samples (completely smooth).