Advanced Search
MyIDEAS: Login

A local cross-validation algorithm

Contents:

Author Info

  • Hall, Peter
  • Schucany, William R.
Registered author(s):

    Abstract

    The usuall form of cross-validation is global in character, and is designed to estimate a density in some "average" sense over its entire support. In this paper we present a local version of squared-error cross-validation, suitable for estimating a probability density at a given point. It is shown theoretically to be asymptotically optimal in the sense of minimizing mean squared error. Numerical examples illustrate finite sample characteristic, and show that local cross-validation is a practical algorithm.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V1D-45DHV07-11/2/05f07809503f587ffcc32cb9761e4b75
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 8 (1989)
    Issue (Month): 2 (June)
    Pages: 109-117

    as in new window
    Handle: RePEc:eee:stapro:v:8:y:1989:i:2:p:109-117

    Contact details of provider:
    Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

    Order Information:
    Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
    Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

    Related research

    Keywords: cross-validation density estimation kernel method local estimation window size;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Farmen, Mark & Marron, J. S., 1999. "An assessment of finite sample performance of adaptive methods in density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 30(2), pages 143-168, April.
    2. Vieu, Philippe, 1996. "A note on density mode estimation," Statistics & Probability Letters, Elsevier, vol. 26(4), pages 297-307, March.
    3. A. Quintela del Río & J. Vilar Fernández, 1992. "A local cross-validation algorithm for dependent data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 1(1), pages 123-153, December.
    4. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, EconWPA.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:8:y:1989:i:2:p:109-117. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.