Bandwidth selection for recursive kernel density estimators defined by stochastic approximation method (Q2260589)

Summary: We propose an automatic selection of the bandwidth of the recursive kernel estimators of a probability density function defined by the stochastic approximation algorithm introduced by \textit{A. Mokkadem} et al. [J. Stat. Plann. Inference 139, No. 7, 2459--2478 (2009; Zbl 1160.62077)]. We showed that, using the selected bandwidth and the stepsize which minimize the MISE (mean integrated squared error) of the class of the recursive estimators defined in [loc. cit.], the recursive estimator will be better than the nonrecursive one for small sample setting in terms of estimation error and computational costs. We corroborated these theoretical results through simulation study.