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A well-supported rule-of-thumb for choosing the bandwidth of a Gaussian kernel density estimator.

bandwidth.nrd(x)

A data vector.

A bandwidth on a scale suitable for the width argument of density.

width

density

Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Springer, equation (5.5) on page 130.

# NOT RUN { # The function is currently defined as function(x) { r <- quantile(x, c(0.25, 0.75)) h <- (r[2] - r[1])/1.34 4 * 1.06 * min(sqrt(var(x)), h) * length(x)^(-1/5) } # }

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