Say I have a dataset $X \subset{\mathbb R}^d$ (assumed to be iid samples) and I want to estimate the probability density of some unseen point y under that (unknown distribution). One way of doing that is by placing a Gaussian with small variance $\sigma$ at every datapoint and averaging their densities: $$ p(y) = \frac{1}{|X|}\sum_{x \in X} N(y \mid x, \sigma I) $$ Where $N(y|x, \sigma I)$ is the probability density of y under a multivariate Gaussian distribution with mean $y$ and covariance matrix $\sigma I$ (ie. the identity matrix scaled by \sigma).
This seems like such a basic method that there should be a name for it. Is there? I thought it might be convolution, but that's not getting me anywhere.