Abstract
Research in the area of bandwidth selection was an active topic in the 1980s and 1990s, however, recently there has been little research in the area. We re-opened this investigation and have found a new method for estimating mean integrated squared error for kernel density estimators. We provide an overview of other methods to obtain optimal bandwidths and offer a comparison of these methods via a simulation study. In certain situations, our method of estimating an optimal bandwidth yields a smaller MISE than competing methods to compute bandwidths. This procedure is illustrated by an application to two data sets.
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