SmoothKernelDistribution has three options that are not described in too much detail in the Mathematica's help window.
InterpolationPoints: What is interpolated by Mathematica in function
MaxMixtureKernels: As far as my limited knowledge of kernel estimates goes, there will be as many kernels as grid points on my discretized domain. If my data lives on $x$, and I am attempting to approximate probability density function $f(x)$ then I may choose to do so at N evenly-spaced discrete points along $x$, e.g. $x_i, i=1,2,...,N$.
MaxRecursion: What recursion does this option pertain to?