Least squares cross-validation (CV) methods are often used for automated bandwidth selection. We show that they share a common structure which has an explicit asymptotic solution that we derive. Using the framework of density estimation, we consider unbiased, biased, and smoothed CV methods. We...

This paper introduces a new method for estimating large variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We...