Robust normal reference bandwidth for kernel density estimation

Jin Zhang and Xueren Wang

Statistica Neerlandica, 2009, vol. 63, issue 1, 13-23

Abstract: Bandwidth selection is the main problem of kernel density estimation, the most popular method of density estimation. The classical normal reference bandwidth usually oversmoothes the density estimate. The existing hi‐tech bandwidths have computational problems (even may not exist) and are not robust against outliers in the sample. A highly robust normal reference bandwidth is proposed, which adapts to different types of densities.

Date: 2009
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