8  Density Estimation

Up to now, we have discussed various statistical methods for estimating parameters, testing hypotheses, and making predictions based on observed data. However, in many real-world applications, we often encounter situations where we need to estimate the underlying probability distribution of a dataset without assuming a specific parametric form. This is where density estimation comes into play.

Density estimation is a fundamental technique in statistics that allows us to estimate the probability density function (PDF). We know that, density does not always exist!

Reference