How much do plug-in bandwidth selectors adapt to non-smoothness?

• Published in: Journal of nonparametric statistics Vol. 8; no. 2; pp. 185 - 197
• Main Authors: Van Es, A. J., Hoogstrate, A. J.
• Format: Journal Article
• Language: English
• Published: Gordon and Breach Science Publishers 01.01.1997
• Subjects: data-driven bandwidth selection; Kernel density estimation; plug-in method; Primary: 62G05; Secondary 62E20

The asymptotic behaviour of some popular plug-in bandwidth selection procedures for kernel density estimators is reviewed for situations where the observations are drawn from a density which possibly has discontinuities or discontinuities in its derivatives. It is shown that the procedures, with the...