Robust kernels for kernel density estimation

The likelihood cross validation (LCV) and the least square cross validation (LSCV) are two commonly used methods of bandwidth selection in kernel density estimation. The LCV is generally more efficient but sensitive to tail-heaviness; in contrast, the LSCV fares well for heavy-tailed distributions but tends to undersmooth and is generally more variable. In this study, we propose two novel kernel functions that are robust against heavy-tailed...