One key issue in several astrophysical problems is the evaluation of t
he density probability function underlying an observational discrete d
ata set. We here review two non-parametric density estimators which re
cently appeared in the astrophysical literature, namely the adaptive k
ernel density estimator and the Maximum Penalized Likelihood technique
, and describe another method based on the wavelet transform. The effi
ciency of these estimators is tested by using extensive numerical simu
lations in the one-dimensional case. The results are in good agreement
with theoretical functions and the three methods appear to yield cons
istent estimates. However! the Maximum Penalized Likelihood suffers fr
om a lack of resolution and high computational cost due to its depende
ncy on a minimization algorithm. The small differences between kernel
and wavelet estimates are mainly explained by the ability of the wavel
et method to take into account local gaps in the data distribution. Th
is new approach is very promising, since smaller structures superimpos
ed onto a larger one are detected only by this technique, especially w
hen small samples are investigated. Thus, wavelet solutions appear to
be better suited for subclustering studies. Nevertheless, kernel estim
ates seem more robust and are reliable solutions although some small-s
cale details can be missed. In order to check these estimators with re
spect to previous studies, two galaxy redshift samples, related to the
galaxy cluster A3526 and to the Corona Borealis region, have been ana
lyzed. In both these cases claims for bimodality are confirmed at a hi
gh confidence level.