Smoothed kernel conditional density estimation

•Conditional density of Y given X with multiple Y's for each observed X.•Kernel conditional density estimator that smooths f(y|x) across x.•Large sample properties depend on the sample size of X and that of Y at each X.•A practical cross validation bandwidth selector.

Given multiple Y observations for each observed X, we propose a conditional kernel density estimator that exploits smoothing of f(y|x) across x. We obtain large sample properties of the proposed estimator and present a practical cross validation bandwidth selector. An application to adult BMI densities conditional on age is provided.