get probabilities from kernel density estimation pdf I have data points located at $\mathbf{x}_i$ and I would like to a find quick and dirty way to calculate their probability of occurring (not the pdf) using kernel density estimation. Formally speaking, I know I must take the definite integral within the neighborhood of the points to get an actual probability. But that is not feasible, due to the large number of points and high dimensionality. Does anyone have an informal way to do this?
 A: The problem here is that your question is contradictory.  You are using a KDE with a continuous kernel, which means that you are estimating using a continuous distribution.  For a continuous distribution, the probability of any outcome is zero (see e.g., here and here), so we usually measure by the probability density instead.  However, you say that you want the probability of the point, not its density.  You also make it clear that you want the probability of the individual point, not the probability of a neighbourhood containing that point.
Under these requirements, the estimated probability of the outcome is zero.  This is not helpful, which is why we measure outcomes in a continuous distribution by their probability density instead of their probability.
A: I'm answering my own question, and would like to know what people think of it. In general, the pdf is given by 
$f(\mathbf{x})=\frac{1}{N} \sum_i K(\mathbf{x}-\mathbf{x}_i)$
where $N$ is the number of points and $K$ is a function that integrates to 1. Also, let's say that $K$ is constant for all distances less than $r$, and zero outside it ($K$ is a ball). What if we approximate the probability of finding a point within the $r-$neighborhood of $ \mathbf{x}_i$ as:
$p(\mathbf{x}_i) = \frac{f(\mathbf{x}_i)}{K(\mathbf{0})}$
where $K(\mathbf{0})$ is the density at the center of the kernel?
Let's consider two limiting cases:
1) All points are identical: $p(\mathbf{x}_i)=1$.
2) All points are far away from each other: $p(\mathbf{x}_i)=1/N$.
This method gives the correct behavior in these two cases. Of course, the probability depends on the kernel choice. This is just a quick and dirty method, but please comment if you have any issues with the approximation, or ways to improve it without integrating.
