I recommend Averaged Shifted Histograms because they're easy to implement, accurate, and very fast (only slightly slower than a histogram, unlikely most kernel estimators).
There's also a couple extensions that might be worth looking at, notably RASH and ASH with equal-area histograms.
I recommend Averaged Shifted Histograms because they're easy to implement, accurate, and very fast (only slightly slower than a histogram, unlikely most kernel estimators).
There's also a couple extensions that might be worth looking at, notably RASH and ASH with equal-area histograms.