The integrated mean square error for the conditional KDE.
bw: array_like :
CV: float :
The formula for the cross-validation objective function for mixed variable types is:
where is the multivariate product kernel and is the leave-one-out estimator of the pdf.
is the convolution kernel.
The value of the function is minimized by the _cv_ls method of the GenericKDE class to return the bw estimates that minimize the distance between the estimated and “true” probability density.
|[R15]||(1, 2) Racine, J., Li, Q. Nonparametric econometrics: theory and practice. Princeton University Press. (2007)|
|[R16]||(1, 2) Racine, J., Li, Q. “Nonparametric Estimation of Distributions with Categorical and Continuous Data.” Working Paper. (2000)|