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Sourcecode: octave-econometrics version File versions  Download package

kernel_density_cvscore.m

function cvscore = kernel_density_cvscore(bandwidth, data, kernel)
            dens = kernel_density(data, data, exp(bandwidth), true, 0, 0, chol(cov(data)), kernel);
            dens = dens + eps; # some kernels can assign zero density
            cvscore = -mean(log(dens));
endfunction


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