[jfim]

Indeed, but that estimate is likely to be less misleading in most cases than a histogram(which is just a uniform kernel that is always aligned with bin boundaries).

[xfs]

One particular parameter of the kernel, bandwidth, can result in highly misleading visualization given arbitrarily chosen values. Here is an example http://en.wikipedia.org/wiki/File:Comparison_of_1D_bandwidth...

The smoothing give unsavvy readers a false sense of accuracy. With histogram they can at least tell it's an approximation.

[noelwelsh]

Yup. Luckily there are good methods for choosing the bandwidth:

http://www.umiacs.umd.edu/labs/cvl/pirl/vikas/Software/optim...