Density estimation methods?

What non-/semiparametric methods to estimate a probability density from a data sample are you using ?

(Please do not include more than one method per answer)


Dirichlet Process mixture models can be very flexible nonparametric Bayesian approach for density modeling, and can also be used as building blocks in more complex models. They are essentially an infinite generalization of parametric Gaussian mixture models and don’t require specifying in advance the number of components in the mixture.

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