An approximate necessary condition for the optimal bandwidth selector in kernel density estimation
Volume 22 / 1993
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.
