Multivariate Density Estimation: Theory, Practice, and Visualization

by David W. Scott · 1992
DOI: 10.1002/9780470316849

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) DOI: 10.1002/9780470316849

@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}
}