Some books discussing topics in nonparametric regression/ probability density estimation/
And the R or S codes.

1. Book: [PDF] Applied smoothing techniques for data analysis: the kernel approach with S-PLUS illustrations
2. PDF: The sm package related with the book above. Package: sm manual
3. Book[djvu]: Introduction to nonparametric regression, Kunio Takezawa, Wiley https://bbs.pinggu.org/thread-160435-1-1.html
4. Book: [PDF]Modern applied statistics with S MASS
5. Book: Multivariate Density Estimation: Theory, Practice, and Visualization https://bbs.pinggu.org/a-500969.html
6. Book [PDF] Nonparametric and Semiparametric Models https://bbs.pinggu.org/thread-1154276-1-1.html

To be continued. Just enjoy learning. Thank you.