 Third-order pointwise kernel error bound

Suppose a probability density function and its third derivative are bounded. A square-integrable unit-integral kernel for density estimation with first two moments zero and ${\mu }_3=\int |u{|}^3|K(u)|du<\infty$ has bias of a kernel density estimator at most $\Vert f^{(3)}{\Vert }_{\infty }{\mu }_3{h}^3/6$, by Taylor theorem with Lagrange remainder and moment cancellation. independence gives variance at most $\Vert f{\Vert }_{\infty }\Vert K{\Vert }_2^2/(nh)$. The Cauchy-Schwarz inequality bounds the expected centred absolute deviation by the square root of this variance. Adding the bias proves the inequality uniformly in $x$. The choice $h=n^{-1/7}$ gives expected absolute error $O(n^{-3/7})$.