Help understanding a paper on kernel density estimates
- $\mathbb{K}$ is their notation for the support. c.f. p.177-178.
- $z_{1-\alpha/2}$ is standard notation for the $1-\alpha/2$ quantile of a standard normal, i.e. satisfying $\Phi(z_{1-\alpha/2})=1-\alpha/2$, where $\Phi$ is the standard normal CDF.
- See wiki or these MIT notes