Integrated variance of a kernel density estimator ($\mathbb{E}\Vert {\hat{f}}_{n,h}-K_h\ast f{\Vert }_2^2$)

For an $L^2$ kernel and an independent sample from a density $f$, the centred kernel density estimator hasIndependence removes cross terms and Tonelli theorem integrates the pointwise variance. Young's convolution inequality ensures $K_h\ast f\in L^2$ even without $f\in L^2$. The Cauchy-Schwarz inequality yields the expected-norm bound $\mathbb{E}\Vert {\hat{f}}_{n,h}-K_h\ast f{\Vert }_2\le \Vert K{\Vert }_2/\sqrt{nh}$.