I understand that Prof. Ripley is largely responsible for the many
kernel density estimation functions in R, especially the bw.SJ functions
for the popular Sheather and Jones bandwidth selector. We have recently
developed a new bandwidth selector that significantly improves SJ
selector for difficult densities that deviates severely from normality
but retains the superior performance of SJ selector for smoother ones.
The paper (to appear in Journal of nonparametric statistics) is
available at

 

http://www.geocities.com/jg_liao/papers/kernel.pdf

 

and the R function bw.liao is at

 

http://www.geocities.com/jg_liao/software/bw_liao.txt

 

The algorithm and R function appears to be very stable as it has
processed more than 20000 datasets without problem. We would love to
work with Prof. Ripley or other R core member to make the new method
part of R stats. Thanks.

 

Jason

 

Jason Liao, http://www.geocities.com/jg_liao 

 


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