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

[josef.pktd at gmail.com]

On Thu, Jan 6, 2011 at 10:29 AM, Zachary Pincus <zachary.pincus at yale.edu> wrote:
> 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...

Scotts 1992 is the reference in Haerdle

http://books.google.com/books?id=qPCmAOS-CoMC&pg=PA73&lpg=PA73&dq=scott%27s+factor+rule-+of-thumb+hardle&source=bl&ots=kTNHJpyk6w&sig=5wwCOzThGsIzXOyVax2AbKQ11Rw&hl=en&ei=MOwlTdC3F4aBlAeRsZDNAQ&sa=X&oi=book_result&ct=result&resnum=1&sqi=2&ved=0CBYQ6AEwAA#v=onepage&q&f=false

Haerdle's book is also online, but I need to look for the link.

Josef


>
> Anyone know off the top of their head?
>
> Thanks,
> Zach
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