File: kernel_density_cvscore.m

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octave-econometrics 1%3A1.0.8-6
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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