We consider the estimation of a density at a fixed point under a local differential privacy constraint, where the observations are anonymised before being available for statistical inference. We propose both a privatised version of a projection density estimator as well as a kernel density estimator and derive their minimax rates under a privacy constraint. There is a twofold deterioration of the minimax rates due to the anonymisation, which we show to be unavoidable by providing lower bounds. In both estimation procedures a tuning parameter has to be chosen. We suggest a variant of the classical Goldenshluger-Lepski method for choosing the bandwidth and the cut-off dimension, respectively, and analyse its performance. It provides adaptive minimax-optimal (up to log-factors) estimators. We discuss in detail how the lower and upper bound depend on the privacy constraints, which in turn is reflected by a modification of the adaptive method.
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