Software
rlcv: R package (examples). Robust likelihood cross validation bandwidth selection for uni- and multi-variate kernel density estimation; resistant against fat-tailed distributions and/or outliers. Based on “Robust Likelihood Cross Validation for Kernel Density Estimation,” X. Wu, Journal of Business and Economic Statistics, 2019.
kdecopula: R package (by T. Nagler and K. Wen). Collection of kernel-based copula density estimators, including the improved transformation-based kernel copula estimator based on "Transformation-Kernel Estimation of Copula Densities", K. Wen and X. Wu, Journal of Business and Economic Statistics, 2020.