Sheather-Jones bandwidth selection method

I need to estimate the bandwidth to perform a KDE, and I am trying to use the Sheather-Jones bandwidth selection method.

I was trying to use the command sjpi from the locfit package, but it says that the sjpi function does not provide a reliable method of bandwidth selection.

Does anybody now if there is a package that can estimate the bandwidth with the Sheather-Jones method?


Welcome to the community!

The bw.SJ function in the stats package and width.SJ in MASS package use Sheather Jones method.

This is a very popular method, and hence I'll guess a lot of (if not all) packages for KDE will have an option to use this. For example, check out the dpik function from KernSmooth package. You can also explore the ks package.

Hope this helps.

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