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Bandwidth Selection in an EM-Like Algorithm for Nonparametric Multivariate Mixtures

In this paper we describe a method to select the bandwidth used in the nonparametric EM (npEM) algorithm of Benaglia et al. (2008). This method is a generalization of the Silverman’s rule of thumb used to select a bandwidth in kernel density estimation, and it results in one bandwidth for each mixture component and each block of conditionally independent and identically distributed repeated measures.