ENH: Allow custom bandwidth functions in KDEUnivariate fit

statsmodels/nonparametric/kde.py

@@ -344,7 +344,10 @@ def kdensity(X, kernel="gau", bw="normal_reference", weights=None, gridsize=None
 
     # if bw is None, select optimal bandwidth for kernel
     try:
-        bw = float(bw)
+        if callable(bw):
+            bw = float(bw(X, kern))
+        else:
+            bw = float(bw)
     except:
         bw = bandwidths.select_bandwidth(X, bw, kern)
     bw *= adjust
@@ -454,7 +457,10 @@ def kdensityfft(X, kernel="gau", bw="normal_reference", weights=None, gridsize=N
     kern = kernel_switch[kernel]()
 
     try:
-        bw = float(bw)
+        if callable(bw):
+            bw = bw(X, kern) # user passed a callable custom bandwidth function
+        else:
+            bw = float(bw)
     except:
         bw = bandwidths.select_bandwidth(X, bw, kern) # will cross-val fit this pattern?
     bw *= adjust

statsmodels/nonparametric/tests/test_kde.py

@@ -348,3 +348,19 @@ def test_fit_self(reset_randomstate):
     kde = KDE(x)
     assert isinstance(kde, KDE)
     assert isinstance(kde.fit(), KDE)
+
+
+class TestKDECustomBandwidth(object):
+
+    @classmethod
+    def setup_class(cls):
+        cls.kde = KDE(Xi)
+        cls.weights_200 = np.linspace(1, 100, 200)
+        cls.weights_100 = np.linspace(1, 100, 100)
+
+    def test_check_is_fit_ok_with_custom_bandwidth(self):
+        def custom_bw(X, kern):
+            return np.std(X) * len(X)
+        kde = self.kde.fit(bw=custom_bw)
+        assert isinstance(kde, KDE)
+