A bandwidth selector for local linear density estimators

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22 Citations (Scopus)


Local linear density estimators achieve automatic boundary corrections and enjoy some typical optimal properties. Proper choice of the smoothing parameters is crucial for their performance. A data-based bandwidth selector is developed in the spirit of plug-in rules. Consistency and asymptotic normality of the selected bandwidth are demonstrated. The bandwidth is very efficient regardless of whether there are non-smooth boundaries in the support of the density or not.

Original languageEnglish
Pages (from-to)1001-1013
JournalAnnals of Statistics
Issue number3
Publication statusPublished - Jun 1997


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