Explicit Solutions For The Asymptotically-Optimal Bandwidth In Cross Validation
AbstractLeast squares cross-validation (CV) methods are often used for automated bandwidth selection. We show that they share a common structure which has an explicit asymptotic solution. Using the framework of density estimation, we consider unbiased, biased, and smoothed CV methods. We show that, with a Student t(nu) kernel which includes the Gaussian as a special case, the CV criterion becomes asymptotically equivalent to a simple polynomial. This leads to optimal-bandwidth solutions that dominate the usual CV methods, definitely in terms of simplicity and speed of calculation, but also often in terms of integrated squared error because of the robustness of our asymptotic solution. We present simulations to illustrate these features and to give practical guidance on the choice of nu.
Download InfoIf 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.
Bibliographic InfoPaper provided by HAL in its series Working Papers with number halshs-00472750.
Date of creation: 13 Apr 2010
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00472750/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
bandwidth choice; cross validation; nonparametric density es- timation; analytical solution;
Other versions of this item:
- Karim M. Abadir & Michel Lubrano, 2010. "Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation," Working Paper Series 16_10, The Rimini Centre for Economic Analysis.
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.