The integrated mean square error for the conditional KDE.
Parameters : | bw: array_like :
|
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Returns : | CV: float :
|
Notes
For more details see pp. 156-166 in [1]. For details on how to handle the mixed variable types see [3].
The formula for the cross-validation objective function for mixed variable types is:
where
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.