Scott’s rule of thumb for kernel density estimation bandwidth selection.
$$ h \approx 1.06 \cdot \hat{\sigma} n^{-1/5} $$Reference
David W. Scott “Multivariate Density Estimation: Theory, Practice, and Visualization” (1992) // Wiley Series in Probability and Statistics. Publisher: Wiley. ISBN: 9780470316849. DOI: 10.1002/9780470316849
Bib
@Book{scott1992,
title = {Multivariate Density Estimation: Theory, Practice, and Visualization},
isbn = {9780470316849},
issn = {1940-6347},
url = {http://dx.doi.org/10.1002/9780470316849},
doi = {10.1002/9780470316849},
journal = {Wiley Series in Probability and Statistics},
publisher = {Wiley},
author = {Scott, David W.},
year = {1992},
month = {aug}
}
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