[R] density estimation

[Kloss, Burkhard]

I've been trying to figure this out for a while, but my knowledge of R is obviously still too limited.

The context is as follows:  I have some time series, and I would like to estimate their densities, and then use the actual densities in a monte carlo simulation.  Now, I can easily estimate the density using density(); I can write a random number generator to fit an arbitrary density function (using the rejection method), but I can't figure out how to get a density function from the estimator.

Any idea how I can go about that?  

Thanks in advance, 

	Burkhard Kloss