One-sided cross-validation for nonsmooth density functions

DOI10.48550/ARXIV.1703.05157MaRDI QIDQ154558zbMATH OpenOpenAlexWikidataFDO

Authors Olga Savchuk, Olga Y. Savchuk

Publication date 15 March 2017

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.05157

zbMATH Keywords

cross-validationkernel density estimationone-sided cross-validation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Abstract: One-sided cross-validation (OSCV) is a bandwidth selection method initially introduced by Hart and Yi (1998) in the context of smooth regression functions. Mart'{i}nez-Miranda et al. (2009) developed a version of OSCV for smooth density functions. This article extends the method for nonsmooth densities. It also introduces the fully robust OSCV modification that produces consistent OSCV bandwidths for both smooth and nonsmooth cases. Practical implementations of the OSCV method for smooth and nonsmooth densities are discussed. One of the considered cross-validation kernels has potential for improving the OSCV method's implementation in the regression context.

Recommendations

• One-sided cross-validation for nonsmooth regression functions
• Fully robust one-sided cross-validation for regression functions
• One-Sided Cross-Validation
• Likelihood cross-validation bandwidth selection for nonparametric kernel density estimators^†
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Cited in

(5)

• OSCV
• One-sided cross-validation for nonsmooth regression functions
• Fully robust one-sided cross-validation for regression functions
• ASYMPTOTIC STABILITY OF THE OSCV SMOOTHING PARAMETER SELECTION
• One-Sided Cross-Validation

Describes a project that uses

Uses Software

• ICV
• OSCV
• KernSmooth

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