Cross-Validation and the Estimation of Conditional Probability Densities

Many practical problems, especially some connected with forecasting, require nonparametric estimation of conditional densities from mixed data. For example, given an explanatory data vector X for a prospective customer, with components that could include the customer's salary, occupation, age, sex, marital status, and address, a company might wish to estimate the density of the expenditure, Y, that could be made by that person, basing the …