Figure 2: Simulated examples for density estimation: (a) X ~ N(0,1), n = 500; (b) X ~ 0.5N(−1.5,1) + 0.5N(2.5,0.752 ), n =1000 . The estimates (solid lines) using INLA are compared to the estimates (dash-dotted lines) using kernel density estimation with Sheather and Jones [8]’s plug-in bandwidth. The true functions are denoted by the dotted lines.