Contribution to the bandwidth choice for kernel density estimates

In the present paper we focus on the problem of the bandwidth choice for the kernel density estimates. The problem of finding the optimal bandwidth belongs to the crucial problems of the kernel estimates. As a criterion of quality of the estimates the L ₂ type measure is used. A special iterative method based on a relevant estimation of mean integrated square error given in papers Müller and Wang (Prob Theor Relat Fields 85:523–538, 1990), Jones et al. (Ann Stat 19:1919–1932, 1991) is suggested. Moreover the idea of maximal smoothing principle (Terrell in J Am Stat Assoc 85:470–477, 1990) is extended to the higher order kernels. A simulation study brings a comparison of the proposed method and the cross-validation method. Research supported by the GACR:402/04/1308.