One-Sided Cross-Validation for Nonsmooth Density Functions

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One-sided cross-validation (OSCV) is a bandwidth selection method initially introduced by Hart and Yi (1998) in the context of smooth regression functions. Martınez-Miranda et al. (2009) developed a version of OSCV for smooth density functions. This article extends the method for nonsmooth densities. It also introduces the fully robust OSCV modification that produces consistent OSCV bandwidths for both smooth and nonsmooth cases. Practical implementations of the OSCV method for smooth and nonsmooth densities are discussed. One of the considered cross-validation kernels has potential for improving the OSCV method's implementation in the regression context.