On a likelihood-based approach in nonparametric smoothing and cross-validation

Probal Chaudhuri and Anup Dewanji

Statistics & Probability Letters, 1995, vol. 22, issue 1, 7-15

Abstract: A likelihood-based generalization of usual kernel and nearest-neighbor-type smoothing techniques and a related extension of the least-squares leave-one-out cross-validation are explored in a generalized regression set up. Several attractive features of the procedure are discussed and asymptotic properties of the resulting nonparametric function estimate are derived under suitable regularity conditions. Large sample performance of likelihood-based leave-one-out cross validation is investigated by means of certain asymptotic expansions.

Keywords: Consistency; Fisher; information; Generalized; regression; model; Maximum; likelihood; cross-validation; Weighted; maximum; likelihood (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (1)

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