Please first take a look at http://social.microsoft.com/Forums/en-US/daa215eb-3a08-44c1-b1d7-f7433193af4b/new-distributions-migrated-from-communityresearchmicrosoftcom. If that doesn't help, tell us the model you would like to have, and we could advise on an Infer.NET implementation.
Looking more for something like this:
http://www.mathworks.com/help/stats/ksdensity.html
or
http://www.mathworks.com/matlabcentral/fileexchange/19280-bivariant-kernel-density-estimation-v2-1