Holmes, Michael P.; Gray, Alexander G.; Isbell Jr., … - In: Computational Statistics & Data Analysis 54 (2010) 7, pp. 1707-1718
We describe a fast, data-driven bandwidth selection procedure for kernel conditional density estimation (KCDE). Specifically, we give a Monte Carlo dual-tree algorithm for efficient, error-controlled approximation of a cross-validated likelihood objective. While exact evaluation of this...