A Review and Comparison of Bandwidth Selection Methods for Kernel Regression

Over the last decades, several methods for selecting the bandwidth have been introduced in kernel regression. They differ quite a bit, and although there already exist more selection methods than for any other regression smoother, one can still observe coming up new ones. Given the need of automatic data-driven bandwidth selectors for applied statistics, this review is intended to explain and, above all, compare these methods. About 20 different selection methods have been revised, implemented and compared in an extensive simulation study.