Bandwidth selection for a data sharpening estimator in nonparametric regression

This paper is concerned with data-based selection of the bandwidth for a data sharpening estimator in nonparametric regression. Two kinds of bandwidths are considered: a bandwidth vector which has a different bandwidth for each covariate, and a scalar bandwidth that is common for all covariates. A plug-in method is developed and its theoretical performance is fully investigated. The proposed plug-in method works efficiently in our simulation study.