Novel and simple non-parametric methods of estimating the joint and marginal densities

•Simple non-parametric methods that overcome key limitations of the existing literature on both the joint and marginal density estimation.•Does not assume any form of the marginal distribution or joint distribution a priori.•The method circumvents the bandwidth selection problems.•Compare our method to the kernel density method.

We introduce very simple non-parametric methods that overcome key limitations of the existing literature on both the joint and marginal density estimation. In doing so, we do not assume any form of the marginal distribution or joint distribution a priori. Furthermore, our method circumvents the bandwidth selection problems. We compare our method to the kernel density method.