Selecting the most appropriate kernel function to extrapolate a load set is the paramount step in compiling load spectrum, as it affects the results of nonparametric extrapolation largely. Aiming at this issue, this paper provides a new approach in selecting kernel function for the nonparametric extrapolation. To solve the complexity and uncertainty of nonparametric extrapolation, characteristics of four kernel functions and their effects on the results are explained in the “from-to” diagram obtained by rainflow counting. Multicriteria decision-making (MCDM) is then applied to solve the selection problem of kernel function. To evaluate the dispersion degrees of the mean and amplitude of a load set accurately, their range, standard deviation, and interquartile range are selected as the evaluation criteria. The weight of each criterion, which represents the impact degree on the selection of the kernel function, is calculated separately using the eigenvector and entropy method. The comprehensive weights are obtained by applying the optimization theory and Jaynes’ maximum entropy principle. Finally, the importance of each criterion is discussed according to their calculated comprehensive weights, and the selection method for kernel functions is obtained, which is illustrated by extrapolating the output torque of the power split device of hybrid electrical vehicles.