Asymptotic optimality of C_ L and generalized cross-validation in ridge regression with application to spline smoothing
From MaRDI portal
Publication:1094036
The asymptotic optimality of Mallows' \(C_ L\) and generalized cross- validation is demonstrated in the setting of ridge regression. An application is made to spline smoothing in nonparametric regression. A counterexample is given to help understand why sometimes GCV may not be asymptotically optimal. The coefficient of variation for the eigenvalues of the information matrix must be large in order to guarantee the optimality of GCV. The proof is based on the connection between GCV and Stein's unbiased risk estimate.
Recommendations
- scientific article; zbMATH DE number 1552502
- Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
- On Generalized Cross-Validation for Multivariate Smoothing Spline Functions
- scientific article; zbMATH DE number 77995
- Asymptotic optimality of generalized cross-validation for choosing the regularization parameter
Cited in
(90)- From Stein's unbiased risk estimates to the method of generalized cross- validation
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotic optimality of the fast randomized versions of GCV and \(C_ L\) in ridge regression and regularization
- A note on generalized cross-validation with replicates
- Asymptotic optimality of generalized cross-validation for choosing the regularization parameter
- Wavelet regression estimation in nonparametric mixed effect models
- Is \(C_{p}\) an empirical Bayes method for smoothing parameter choice?
- Minimax estimation in linear regression under restrictions
- Asymptotic comparison of (partial) cross-validation, GCV and randomized GCV in nonparametric regression
- A new algorithm for 5-band Toeplitz matrix inversion with application to GCV smoothing spline computation
- Selection criteria for scatterplot smoothers
- Oracle inequalities for inverse problems
- Spline adaptation to smoothness
- Statistical properties of the method of regularization with periodic Gaussian reproducing kernel
- Nonlinear black-box models in system identification: Mathematical foundations
- Smoothing spline ANOVA for exponential families, with application to the Wisconsin epidemiological study of diabetic retinopathy. (The 1994 Neyman Memorial Lecture)
- Concentration inequalities for cross-validation in scattered data approximation
- Surprises in high-dimensional ridgeless least squares interpolation
- Empirical estimates for heteroscedastic hierarchical dynamic normal models
- Performance criteria and discrimination of extreme undersmoothing in nonparametric regression
- From finite sample to asymptotics: a geometric bridge for selection criteria in spline regression
- SURE estimates under dependence and heteroscedasticity
- Empirical Bayes estimates for a two-way cross-classified model
- A note on the optimality of generalized cross-validation bandwidth selection in partially linear models with kernel smoothing estimator
- Asymptotic optimality of a multivariate version of the generalized cross validation in adaptive smoothing splines
- Getting better contour plots with S and GCVPACK
- Optimal smoothing in nonparametric mixed-effect models
- Nonparametric estimation of time varying parameters under shape restrictions
- Subspace information criterion for model selection
- Two-staged estimation of variance components in generalized linear mixed models
- Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
- Lasso penalized semiparametric regression on high-dimensional recurrent event data via coordinate descent
- A comparison of error variance estimates in nonparametric mixed models
- Performance of robust GCV and modified GCV for spline smoothing
- Parameter choices for fast harmonic spline approximation
- Asymptotic optimality of NG estimator for linear regression model based on Mallows criterion
- When is the optimal regularization parameter insensitive to the choice of the loss function?
- On Degrees of Freedom of Projection Estimators With Applications to Multivariate Nonparametric Regression
- Distributed Generalized Cross-Validation for Divide-and-Conquer Kernel Ridge Regression and Its Asymptotic Optimality
- Fitting noisy data using cross-validated cubic smoothing splines
- Stability
- On Generalized Cross-Validation for Multivariate Smoothing Spline Functions
- scientific article; zbMATH DE number 77995 (Why is no real title available?)
- The Computation of Generalized Cross-Validation Functions Through Householder Tridiagonalization with Applications to the Fitting of Interaction Spline Models
- Adaptive parametric test in a semiparametric regression model
- Coordinate ascent for penalized semiparametric regression on high-dimensional panel count data
- scientific article; zbMATH DE number 1552502 (Why is no real title available?)
- Adaptivity and oracle inequalities in linear statistical inverse problems: a (numerical) survey
- On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model
- Some characteristics on the selection of spline smoothing parameter
- Trading Variance Reduction with Unbiasedness: The Regularized Subspace Information Criterion for Robust Model Selection in Kernel Regression
- Fitting smoothing splines to data from multiple sources
- SURE Estimates for a Heteroscedastic Hierarchical Model
- Regularized LIML for many instruments
- High-dimensional Gaussian graphical models on network-linked data
- A model-averaging method for high-dimensional regression with missing responses at random
- Estimating the accuracy of (local) cross-validation via randomised GCV choices in kernel or smoothing spline regression
- Two-stage signal restoration based on a modified median filter
- Excess optimism: how biased is the apparent error of an estimator tuned by SURE?
- A regularization approach to the many instruments problem
- The smoothing parameter, confidence interval and robustness for smoothing splines
- Soft and hard classification by reproducing kernel Hilbert space methods
- Comparing parameter choice methods for regularization of ill-posed problems
- Convergence in probability of the Mallows and GCV wavelet and Fourier regularization methods
- A Monte Carlo study on the ridge parameter of the seemingly unrelated ridge regression models
- Average ordinary least squares<scp>‐centered</scp> penalized regression: A more efficient way to address multicollinearity than ridge regression
- Weighted least squares model averaging for accelerated failure time models
- When cannot regularization improve the least squares estimate in the kernel-based regularized system identification
- Robust GCV choice of the regularization parameter for correlated data
- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
- Regularized estimation of dynamic panel models
- Material Degradation Modeling and Failure Prediction Using Microstructure Images
- Convergence of generalized cross-validation with applications to ill-posed integral equations
- Sequential kernel embedding for mediated and time-varying dose response curves
- Corrected generalized cross-validation for finite ensembles of penalized estimators
- Distributed penalizing function criterion for local polynomial estimation in nonparametric regression with massive data
- Distributed Mallows model averaging for ridge regressions
- An improved \(C_p\) criterion for spline smoothing
- Automatic and asymptotically optimal data sharpening for nonparametric regression
- Weak identification and estimation of social interaction models
- Learning and decision-making with data : optimal formulations and phase transitions
- A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes
- Practical use of robust GCV and modified GCV for spline smoothing
- Asymptotic optimality and efficient computation of the leave-subject-out cross-validation
- Fast cross-validation in harmonic approximation
- Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
- A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process
- Regularization in statistics
- Penalized cluster analysis with applications to family data
- An unbiased \(C_p\) criterion for multivariate ridge regression
This page was built for publication: Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1094036)
