Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

DOI10.1016/0047-259X(90)90080-2zbMATH Open0722.62030MaRDI QIDQ756327FDOQ756327

Authors: Peter Hall 

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

density estimationnonparametric regressionmean squared errorsmoothing parameterkernel density estimatebootstrap estimation of a biasbootstrap sample sizeLp-distancestail parameter estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Cites Work

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• A simple general approach to inference about the tail of a distribution
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• Kernel estimates of the tail index of a distribution
• Distribution function inequalities for martingales

Cited In (96)

• Threshold selection for extremes under a semiparametric model
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• A comparative study of several smoothing methods in density estimation
• Leader nodes in communities for information spreading
• Bootstrap confidence intervals for the pareto index
• Bootstrapping the mean integrated squared error
• An adaptive optimal estimate of the tail index for MA(1) time series
• On testing whether burn-in is required under the long-run average cost
• Confidence intervals for the current status model
• Bootstrap confidence intervals for tail indices.
• Bootstrap bandwidth selection in kernel density estimation from a contaminated sample
• On nonparametric local inference for density estimation
• Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
• Asymptotic distribution of data‐driven smoothers in density and regression estimation under dependence
• Selecting the optimal sample fraction in univariate extreme value estimation
• The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
• Bandwidth selection for kernel density estimation: a review of fully automatic selectors
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Bootstrap confidence intervals for smoothing splines and their comparison to bayesian confidence intervals
• On the estimation of a changepoint in a tail index
• Smoothing the Bootstrap
• Threshold selection and trimming in extremes
• Approximations to distributions of statistics used for testing hypotheses about the number of modes of a population
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• Nonparametric density estimation for symmetric distributions by contaminated data
• Nonparametric binary discrimination. Methods for estimating the smoothing para
• Nonparametric analysis of extremes on web graphs: PageRank versus max-linear model
• The choice of smoothing parameter in nonparametric regression through wild bootstrap
• Kernel density estimation of actuarial loss functions
• Asymptotically unbiased estimators for the extreme-value index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• A computational strategy for doubly smoothed MLE exemplified in the normal mixture model
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• On the validity of the bootstrap in non-parametric functional regression
• Optimal rates for local bandwidth selection
• Nonparametric tail estimation using a double bootstrap method.
• Universal smoothing factor selection in density estimation: theory and practice. (With discussion)
• Bootstrap approximation of tail dependence function
• Higher order estimation at Lebesgue points
• Exact mean and mean squared error of the smoothed bootstrap mean integrated squared error estimator
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Extreme value analysis of actuarial risks: estimation and model validation
• Title not available (Why is that?)
• Tail inference: where does the tail begin?
• Regression estimator for the tail index
• A parametric bootstrap for heavy-tailed distributions
• Minimum distance density-based estimation
• On the minimisation of \(L^ p\) error in mode estimation
• Bootstrap and empirical likelihood methods in extremes
• Bias corrected bootstrap bandwidth selection
• Nonparametric Mean Estimation with Missing Data
• No effect tests in regression on functional variable and some applications to spectrometric studies
• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• Nonparametric Estimation of the Renewal Function by Empirical Data
• Kernel-type estimators for the extreme value index
• On bootstrap estimation of the distribution of the Studentized mean
• Subsampling the distribution of diverging statistics with applications to finance
• Subsampling extremes: from block maxima to smooth tail estimation
• A robust prediction error criterion for pareto modelling of upper tails
• Bootstrap bandwidth selection method for local linear estimator in exponential family models
• Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process
• Statistics of extremes by oracle estimation
• Semi-parametric probability-weighted moments estimation revisited
• Tail index estimation with a fixed tuning parameter fraction
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Using a bootstrap method to choose the sample fraction in tail index estimation
• On robust tail index estimation for linear long-memory processes
• Experimental study of three-scalar mixing in a turbulent coaxial jet
• A modeler's guide to extreme value software
• Statistical and probabilistic analysis of interarrival and waiting times of Internet2 anomalies
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• Computational aspects of the kNN local linear smoothing for some conditional models in high dimensional statistics
• Kernel Averaging Estimators
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Optimal choice of sample fraction in univariate financial tail index estimation
• Statistical learning theory for fitting multimodal distribution to rainfall data: an application
• Bootstrap selection of bandwidth and confidence bands for nonparametric regression
• Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores
• The use of Smooth Bootstrap Techniques for Estimating the Error Rate of a Prediction Rule
• Nonparametric curve estimation and bootstrap bandwidth selection
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• Sequential Monte Carlo samplers to fit and compare insurance loss models
• Hill estimator of projections of functional data on principal components
• On nonparametric estimation of a reliability function
• A review and some new proposals for bandwidth selection in nonparametric density estimation for dependent data
• Consistency of the Hill estimator for time series observed with measurement errors
• A new test for tail index with application to Danish fire loss data
• Smoothed bootstrap methods for bivariate data
• Estimation of central shapes of error distributions in linear regression problems
• Estimation of the incubation time distribution for COVID‐19
• Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
• Regenerative block-bootstrap confidence intervals for tail and extremal indexes
• A practical method for analysing heavy tailed data
• Modelling extreme claims via composite models and threshold selection methods
• Exact results and bounds for the mean squared error of percentile bootstraps
• Investigation of three-scalar subgrid-scale mixing in turbulent coaxial jets

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