statsmodels.nonparametric.kernel_density.KDEMultivariateConditional.loo_likelihood

KDEMultivariateConditional.loo_likelihood(bw, func=<function KDEMultivariateConditional.<lambda>>)

Returns the leave-one-out conditional likelihood of the data.

If func is not equal to the default, what’s calculated is a function of the leave-one-out conditional likelihood.

Parameters:

bw: array_like

The bandwidth parameter(s).

func: callable, optional

Function to transform the likelihood values (before summing); for the log likelihood, use func=np.log. Default is f(x) = x.

Returns:

L: float

The value of the leave-one-out function for the data.

Notes

Similar to KDE.loo_likelihood`, but substitute ``f(y|x)=f(x,y)/f(y) for f(x).