Bias corrected bootstrap bandwidth selection

Birgit Grund, Jörg Polzehl

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


Current bandwidth selectors for kernel density estimation that are asymptotically optimal often prove less promising under more moderate sample sizes. The point of this paper is to derive a class of bandwidth selectors that attain optimal root-n convergence while still showing good results under small and moderate sample sizes. This is achieved by minimizing bias corrected smoothed bootstrap estimates of the mean integrated squared error. The degree of bias correction determines the rate of relative convergence of the resulting bandwidth. The bias correction targets finite sample bias rather than asymptotically leading terms, resulting in substantial improvements under smaller sample sizes. In a simulation study, the new methods are compared to several of the currently most popular bandwidth selectors, including plug-in, cross-validation and other bootstrap rules. Practical implementation, and the choice of the oversmoothing bandwidth are discussed.

Original languageEnglish (US)
Pages (from-to)97-126
Number of pages30
JournalJournal of Nonparametric Statistics
Issue number2
StatePublished - 1997

Bibliographical note

Funding Information:
*Research in part supported by NSF grant number DMS-9501893.


  • Bandwidth selection
  • Bias correction
  • Kernel density estimation
  • Smoothed bootstrap


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