plot probability density function (pdf)

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.

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