A NOTE ABOUT THE CRITICAL BANDWIDTH FOR A KERNEL DENSITY ESTIMATOR WITH THE UNIFORM KERNEL

Abstract. Among available bandwidths for kernel density estimators, the critical bandwidth is a data-driven one, which satisfies a constraint on the number of modes of the estimated density. When using a random bandwidth, it is of particular interest to show that it goes toward 0 in probability when the sample size goes to infinity. Such a property is important to prove satisfying asymptotic results about the corresponding kernel density estimator. It is shown here that this property is not true for the uniform kernel. 1