Uniform-in-bandwidth consistency for nonparametric estimation of   divergence measures
  We propose nonparametric estimation of divergence measures between continuous distributions. Our approach is based on a plug-in kernel- type estimators of density functions. We give the uniform in bandwidth consistency for the proposal estimators. As a consequence, their asymp- totic 100% confidence intervals are also provided. 
Papa Ngom and Hamza Dhaker and Pierre Mendy and El Hadji Deme
stat.ME