Numerous facets of scientific research implicitly or explicitly call for the estimation of probability densities. Histograms and kernel density estimates (KDEs) are two commonly used techniques for estimating such information, with the KDE generally providing a higher fidelity representation of the probability density function (PDF). Both methods require specification of either a bin width or a kernel bandwidth. While techniques exist for choosing the kernel bandwidth optimally and objectively, they are computationally intensive, since they require repeated calculation of the KDE. A solution for objectively and optimally choosing both the kernel shape and width has recently been developed by Bernacchia and Pigolotti (2011). While this solution theoretically applies to multidimensional KDEs, it has not been clear how to practically do so. A method for practically extending the Bernacchia–Pigolotti KDE to multidimensions is introduced. This multidimensional extension is combined with a recently-developed computational improvement to their method that makes it computationally efficient: a 2D KDE on 10 5 samples only takes 1 s on a modern workstation. This fast and objective KDE method, called the fastKDE method, retains the excellent statistical convergence properties that have been demonstrated for univariate samples. The fastKDE method exhibits statistical accuracy that is comparable to state-of-the-science KDE methods publicly available in R , and it produces kernel density estimates several orders of magnitude faster. The fastKDE method does an excellent job of encoding covariance information for bivariate samples. This property allows for direct calculation of conditional PDFs with fastKDE. It is demonstrated how this capability might be leveraged for detecting non-trivial relationships between quantities in physical systems, such as transitional behavior. 
A fast and objective multidimensional kernel density estimation method: fastKDE