How to plot a set of densities in 3D using R?

Question

I need to plot, in 3D, a set of densities associated to a time series. More precisely, I would like to be able in R to build an image close to this example

Answer 1

In 1996 I wrote a paper (published in JCGS) with a figure very similar to that but without the transparency. See http://robjhyndman.com/papers/estimating-and-visualizing-conditional-densities/ for the details. The plotting function is implemented in the R package hdrcde available on CRAN. The package contains some examples in the help files. You should be able to adapt my code to add the transparency.