I am experimenting with ways to deal with overplotting in R, and one thing I want to try is to plot individual points but color them by the density of their neighborhood. In order to do this I would need to compute a 2D kernel density estimate at each point. However, it seems that the standard kernel density estimation functions are all grid-based. Is there a function for computing 2D kernel density estimates at specific points that I specify? I would imagine a function that takes x and y vectors as arguments and returns a vector of density estimates.
I eventually found the precise function I was looking for: interp.surface from the fields package. From the help text:
Uses bilinear weights to interpolate values on a rectangular grid to arbitrary locations or to another grid.