Large sample optimality of least squares cross-validation in density estimation
type: Item
instance of: scholarly article
title: Large sample optimality of least squares cross-validation in density estimation
zbMATH Open document ID: 0599.62051
published in: The Annals of Statistics
publication date: 1983-01-01T00:00:00Z
review text: Cross-validatory methods in density estimation have generated considerable interest in recent years. Early methods, however, where shown to produce inconsistent estimators unless the distribution tails are very small. A modification was suggested by Bowman and Rudemo using a least squares cross-validation method. In this paper the author proves that the Bowman-Rudemo method minimizes the integrated square error in an asymptotic sense with tail conditions which are only slightly more severe than the hypothesis of finite variance.
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 3967686
zbMATH Keywords: large sample optimality
zbMATH Keywords: density estimation
zbMATH Keywords: least squares cross- validation method
zbMATH Keywords: integrated square error
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1214/aos/1176346329
OpenAlex ID: W1549245336
DOI: 10.1214/AOS/1176346329
author: Peter Hall
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description: scientific article; zbMATH DE number 3967686