Biased cross-validation for density bandwidth

ID: biased-cross-validation-for-density-bandwidth

Subtract the diagonal variance contribution from the derivative estimate's squared norm, then insert the result into asymptotic mean integrated squared error. The expected curvature estimate equals , apart from a negligible finite-n term. This makes the resulting criterion asymptotically correct even though it is not an exactly unbiased estimate of integrated risk. Under standard conditions its selector is ratio-consistent with the optimal bandwidth and has relative fluctuation order .

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