A few random thoughts (note that I don't know very much about KDE, so some of this might be way off):
How hard would it be to add a user-defined kernel, either through a
callback or by passing an array(ref) that contains a discretized version of
the kernel? That would make it even more useufl
From a quick glance over the docs it seems that there's no easy way to
calculate the pdf and cdf functions for all useful
positions, the user always has to iterate over the interesting positions.
Maybe there could be a function to calculate them all in a given range,
and return the values as an array?