Manipulate for probability distribution with multiple parameters, kernel smoothing

Question

I'm looking to use the Manipulate command to take a distribution with multiple parameters (e.g., mean and sigma for the normal), generate some variates, then plot the density with kernel smoothing. Ideally I'd like to have sliders for all parameters, the number of variates used, and the bandwidth for smoothing.

Here's what I've got:

Manipulate[
  Plot[
    SmoothKernelDistribution[RandomVariate[NormalDistribution[μ, σ], numbVars], bw],
    {x, -5, 5}],
  {μ, -1, 1},
  {σ, 0, 5},
  {numVars, 10, 1000, 10},
  {bw, .1, 5}]

But it looks like I'm not indicating things correctly, getting errors for the RandomVariate parameters and for SmoothKernelDistribution and perhaps others that are supressed.

Answer 1

Something like the following should get you started. I use KernelMixtureDistribution with the setting MaxMixtureKernels set to All because it works symbolically and is not an approximation to the kernel density estimator like SmoothKernelDistribution.

Manipulate[
 Block[{data, dist, kmd},
  SeedRandom[1];
  data = RandomVariate[dist = NormalDistribution[μ, σ], n];
  kmd = KernelMixtureDistribution[data, h, MaxMixtureKernels -> All];
  Plot[{PDF[dist, x], PDF[kmd, x]}, {x, -xRng, xRng}, PlotRange -> All]
  ]
  , {{μ, 0}, -1, 1}, {{σ, 1}, 0.01, 
  5}, {{n, 100}, {10, 100, 1000, 10000}}, {{xRng, 5}, 1, 
  10}, {{h, .5}, 0.01, 1}
]

Note that in Mathematica these nonparametric density estimators are actually distributions so we need to plot the PDF not just the distribution itself. The benefit is that all other distribution properties like random number generation work too.