Bandwidth selection Kernel Density Estimation I want to do KDE on data that are not necessarily normal using Gaussian kernels. In KDE in wikipedia an expression for the bandwidth is given when the underlying distribution of the data is gaussian. I am looking for a similar bandwidth selection for non-normal data.
There is vast literature for bandwidths. Different bandwidth perform good in different situations. Its not necessary to use Rule of Thumb bandwidth with normal data. For instance, see Silverman 1986. "Density Estimation".