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    $\begingroup$ One perfectly viable option is to select several bandwidths and plot the results, picking one which looks good. Basically, if you reject methods such as LSCV because they appear to oversmooth or undersmooth, you are sort-of doing that anyway by choosing the intermediate mechanism of a bandwidth selection methodology that gives a good-looking result (instead of just choosing the bandwidth itself.) $\endgroup$ Commented Jan 24, 2012 at 19:46