Abstract: The density estimates considered in this paper comprise
a base density and an adjustment component consisting of a linear
combination of orthogonal polynomials. It is shown that, in the
context of density approximation, the coefficients of the linear combination
can be determined either from a moment-matching technique
or a weighted least-squares approach. A kernel representation of
the corresponding density estimates is obtained. Additionally, two
refinements of the Kronmal-Tarter stopping criterion are proposed
for determining the degree of the polynomial adjustment. By way of
illustration, the density estimation methodology advocated herein is
applied to two data sets.