This note discusses some aspects of the estimation of the density function of a univariate probability distribution. All estimates of the density function satisfying relatively mild conditions are shown to be biased. The asymptotic mean square error of a particular class of estimates is evaluated.
"Remarks on Some Nonparametric Estimates of a Density Function." Ann. Math. Statist. 27 (3) 832 - 837, September, 1956. https://doi.org/10.1214/aoms/1177728190