Asymptotic optimality of C_ L and generalized cross-validation in ridge regression with application to spline smoothing

DOI10.1214/AOS/1176350052zbMATH Open0629.62043OpenAlexW2033914841MaRDI QIDQ1094036FDOQ1094036

Authors: Ker-Chau Li 

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350052

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zbMATH Keywords

nonparametric regressionridge regressioncoefficient of variationasymptotic optimalitygeneralized cross-validationStein's unbiased risk estimatespline smoothingeigenvalues of the information matrixMallow's CL

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric inference (62G99)

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• An unbiased \(C_p\) criterion for multivariate ridge regression
• Optimal smoothing in nonparametric mixed-effect models
• Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
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• Asymptotic comparison of (partial) cross-validation, GCV and randomized GCV in nonparametric regression
• Coordinate ascent for penalized semiparametric regression on high-dimensional panel count data
• Is \(C_{p}\) an empirical Bayes method for smoothing parameter choice?
• Empirical estimates for heteroscedastic hierarchical dynamic normal models
• Two-staged estimation of variance components in generalized linear mixed models
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• A note on generalized cross-validation with replicates
• Stability
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• Soft and hard classification by reproducing kernel Hilbert space methods
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• The Computation of Generalized Cross-Validation Functions Through Householder Tridiagonalization with Applications to the Fitting of Interaction Spline Models
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• A model-averaging method for high-dimensional regression with missing responses at random
• Convergence in probability of the Mallows and GCV wavelet and Fourier regularization methods
• Asymptotic optimality of a multivariate version of the generalized cross validation in adaptive smoothing splines
• Parameter choices for fast harmonic spline approximation
• When cannot regularization improve the least squares estimate in the kernel-based regularized system identification
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