One of widely applied non-parametric density estimation methods. Fast and accurate state-of-the-art bivariate kernel density estimator with diagonal bandwidth matrix. The kernel is assumed to be Gaussian. The two bandwidth parameters are chosen optimally without ever using/assuming a parametric model for the data or any "rules of thumb".  Unlike many other procedures, this one is immune to accuracy failures in the estimation of multimodal densities with widely separated modes.

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