The KernelDensityEstimation class currently includes the normal distribution approximation bandwidth estimator (see KernelDensityEstimation::getDefaultBandwith()) when no bandwidth is passed to the constructor.

It would be useful to have the possibility to choose the Improved Sheather-Jones algorithm as the bandwidth function. Especially when working with non-normal-distributed datasets.

Some resources about Sheather-Jones :

• https://kdepy.readthedocs.io/en/latest/bandwidth.html#the-improved-sheather-jones-algorithm
• https://jurnal.fmipa.unila.ac.id/snmk/article/download/2105/1543
• https://www.jstor.org/stable/2345597
• Python implementation: https://user-web.icecube.wisc.edu/~peller/pisa_docs/_modules/pisa/utils/vbwkde.html