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The plot shows the true density function ... , which is normal with mean 0 and variance 1, and its nonparametric estimate ... obtained using a kernel smoothing with parameter ... . The initial value for ... of 0.95 corresponds to the kernel smoother that minimizes the integrated mean-square error, IMSE. Graphically, IMSE is the area between the two curves. Smaller values correspond to less smoothing and larger to more smoothing. With less smoothing, the red curve wobbles more around the true value, but there is less systematic bias. Although this Demonstration only deals explicitly with an example nonparametric density estimation, the situation is a paradigm for all empirical statistical model building.
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