Bandwidth Selectors for Kernel Density Estimation
This chapter describes the most popular bandwidth selection methods (also known as bandwidth selectors). It starts with a description of the constrained and unconstrained bandwidth selectors and moves on to an overview of the three major types of selectors (that is: rule-of-thumb (ROT), cross-validation (CV) and plug-in (PI) selectors). The next part of the chapter is devoted to describing these selectors in more detail, both for the uni- and multivariate cases. Finally, a few numerical examples are given. The chapter is rounded off with a short section on the computational issues related to bandwidth selectors.