The invention discloses a data 
difference analysis method and 
system based on probability density 
estimation, and belongs to the field of 
data analysis. The method comprises the following steps of firstly, establishing a 
data set, wherein the data in the 
data set changes; estimating the joint probability of the data before and after the change by using a probability density 
estimation method; selecting an optimal 
window width according to a maximum likelihood method, for different window widths, taking any one point in the 
data set every time, constructing the joint probability distribution by using the rest points in the data set, calculating a joint probability density value of the any one point on the joint probability distribution, obtaining a product of a plurality of joint probability density values as a likelihood value, and enabling the 
window width with the maximum likelihood value to be the optimal 
window width; and obtaining the data joint probability 
density distribution before and after change through the probability density 
estimation method according to the optimal window width, and analyzing the data difference. According to the method, the significance degree of each piece of data can be obtained without being limited by the data distribution and is used for discovering the remarkably changed data.