[SciPy-User] KDE: Scott's factor reference?

[Zachary Pincus]

Hi all,

I've been wading through the old literature on gaussian KDE for a  
little while trying to find a reference for the "Scott's factor" rule- 
of-thumb for gaussian KDE bandwidth selection (n**(-1/(d+4)), where n  
is the number of data points and d their dimension; this factor is  
multiplied by the covariance matrix to yield the bandwidths).

I can find a lot of Scott's later contributions of fancier methods,  
but nothing about this basic one...

Anyone know off the top of their head?

Thanks,
Zach