SmoothKernelDistribution

SmoothKernelDistribution[{x1, x2, ...}] represents a smooth kernel distribution based on the data values xi.

SmoothKernelDistribution[..., bw] represents a smooth kernel distribution with bandwidth bw.

SmoothKernelDistribution[..., bw, ker] represents a smooth kernel distribution with bandwidth bw and smoothing kernel ker.

Examples

Create a kernel density estimate:

data = RandomVariate[NormalDistribution[], 100];
dist = SmoothKernelDistribution[data];
PDF[dist, 0]

Plot the estimated PDF:

Plot[PDF[dist, x], {x, -4, 4}]

Please visit the official Wolfram Language Reference for more details.