IDEAS home Printed from
   My bibliography  Save this paper

Practical performance of several data driven bandwidth selectors


  • PARK, Byeong
  • TURLACH, Berwin

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)


Most recently proposed bandwidth selectors in kernel density estimation have been developed with intent to reduce the large sampling variability of Least Squares Cross-Validation. Their asymptotic superiority has been shown in many papers. Some of those selectors have even the fastest n-1/ 2 relative rate of convergence to their theoretical optimum. The aim of this paper is to see what is happening for small sample sizes. Several recently proposed methods of bandwidth selection are considered. These methods are compared to Least Squares Cross-Validation through simulations. Some qualitative measures of performance as well as quantitative ones are used for this comparison. It is seen that, while most of the bandwidth selectors gain some in terms of variance reduction, some of them lose a lot in terms of increased bias resulting in inferior overall performance when compared to Least Squares Cross-Validation.

Suggested Citation

  • PARK, Byeong & TURLACH, Berwin, 1992. "Practical performance of several data driven bandwidth selectors," CORE Discussion Papers 1992005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1992005

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvco:1992005. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.