Modified cross-validation in density estimation

DOI10.1016/0378-3758(92)90157-NMaRDI QIDQ1193996zbMATH OpenOpenAlexFDO

Authors Winfried Stute

Publication date 27 September 1992

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(92)90157-n

zbMATH Keywords

\(U\)-statisticbandwidth selectionbiased cross-validationconsistencyconsistent minimizersintegrated squared errorkernel density estimationmodified cross- validationsmall sample simulation

Mathematics Subject Classification ID

Density estimation (62G07)

Review text

The author proposed a modified cross-validation method for bandwidth selection in nonparametric kernel density estimation. A \(U\)-statistic was introduced as an estimator of the integrated squared error (ISE) of a kernel estimator. This \(U\)-statistic was considered as the modified cross-validation (MCV) function. The author proposed to choose the minimizer of the MCV function as the bandwidth. This bandwidth selection procedure can be carried adaptively. The consistency of such bandwidth was proved and small sample simulation results of comparing with other cross-validation methods for selecting bandwidth selection are given.

Recommendations

• A note on modified cross-validation in density estimation
• An automatic bandwidth selector for kernel density estimation
• Indirect cross-validation for density estimation
• Likelihood cross-validation bandwidth selection for nonparametric kernel density estimators^†
• A study on bandwidth selection in density estimation under dependence

Cites work

• Biased and Unbiased Cross-Validation in Density Estimation
• Curve Estimates
• Extent to which least-squares cross-validation minimises integrated square error in nonparametric density estimation
• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• Large sample optimality of least squares cross-validation in density estimation

Cited in

(13)

• A comparative study of several smoothing methods in density estimation
• Universal smoothing factor selection in density estimation: theory and practice. (With discussion)
• One-sided cross-validation for nonsmooth density functions
• Bandwidth selection for kernel density estimation: a review of fully automatic selectors
• Nonparametric tilted density function estimation: a cross-validation criterion
• Smoothed stationary bootstrap bandwidth selection for density estimation with dependent data
• A note on modified cross-validation in density estimation
• Biased and Unbiased Cross-Validation in Density Estimation
• L₂Version Of The Double Kernel Method
• A review and some new proposals for bandwidth selection in nonparametric density estimation for dependent data
• Novel kernel density estimator based on ensemble unbiased cross-validation
• Nonparametric curve estimation and bootstrap bandwidth selection
• A performance comparison of KDE fixed-bandwidth selectors in density estimation

This page was built for publication: Modified cross-validation in density estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1193996)