Density Estimates are improvements over Histograms (studied in Lecture 17C). This lecture deals with explaining what these are, how they are constructed, and how they can be interpreted.
First watch Introductory Lecture and Motivation:
Next, read the lecture notes Lec08 Density.
Estimating Densities from Data -- Intro to Kernel Density Estimators - Gives the simpler version of Kernel Density Estimation lecture
1: Kernel Density Representations of Data - Introduction to topic and motivation