Kernel density estimation

Parzen window is a way of estimating the probability density function of a random variable. If x₁, x₂, ..., x_N is a sample of the random variable, then the Parzen window approximating its probability density function is

${\frac {1}{N}}\sum _{i=1}^{N}W(x-x_{i})$,

where W is some kernel. Quite often W is taken to be the normal distribution.

See also

• Density estimation.