Indirect Cross-validation for Density Estimation

  title={Indirect Cross-validation for Density Estimation},
  author={Olga Y. Savchuk and Jeffrey D. Hart and Simon J. Sheather},
A new method of bandwidth selection for kernel density estimators is proposed. The method, termed indirect cross-validation, or ICV, makes use of so-called selection kernels. Least squares cross-validation (LSCV) is used to select the bandwidth of a selection-kernel estimator, and this bandwidth is appropriately rescaled for use in a Gaussian kernel estimator. The proposed selection kernels are linear combinations of two Gaussian kernels, and need not be unimodal or positive. Theory is… CONTINUE READING
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