x=rnorm(100,1,0.8) # A series.

y=rnorm(100,0,0.5) # Another series with different mean and variance.

plot(density(x),ylim=c(0,1))

lines(density(y),col="red")

Remember that density() is a nonparametric estimator. You should properly choose the bandwith.

Juan David Ospina Arango

School of Statistics

Universidad Nacional de Colombia, Colombia

Laboratoire de Traitement du Signal et de l'Image

Université de Rennes 1, France