Quasi-universal bandwidth selection for kernel density estimators

Let f?_n, h denote the kernel density estimate based on a sample of size n drawn from an unknown density f. Using techniques from L₂ projection density estimators, the author shows how to construct a data-driven estimator f?_n, h which satisfies This paper is inspired by work of Stone (1984), Devroye and Lugosi (1996) and Birge and Massart (1997).