= Integrated squared bias from a density jump
{title2=$\int\operatorname{Bias}^2\asymp h$}
An uncorrected nonnegative symmetric <kernel density estimator> can leak an order-one amount across a jump in a <probability density function>. If its transition region has width proportional to the <smoothing bandwidth> $h$, the <integrated mean squared error> includes squared <bias of an estimator> of order $h$, rather than the order $h^4$ familiar for twice-smooth interior densities. For the unit-width uniform window and the <exponential distribution> of rate one, the integrated squared <bias of an estimator> is $h/12+o(h)$.
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