An approximate necessary condition for the optimal bandwidth selector in kernel density estimation

Volume 22 / 1993

L. Gajek, A. Lenic Applicationes Mathematicae 22 (1993), 123-138 DOI: 10.4064/am-22-1-123-138

Abstract

An approximate necessary condition for the optimal bandwidth choice is derived. This condition is used to construct an iterative bandwidth selector. The algorithm is based on resampling and step-wise fitting the bandwidth to the density estimator from the previous iteration. Examples show fast convergence of the algorithm to the bandwidth value which is surprisingly close to the optimal one no matter what is the initial knowledge on the unknown density.

Authors

  • L. Gajek
  • A. Lenic

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