Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / econometrics-1.0.8 / 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