The connection between cross-validation and Akaike information criterion in a semiparametric family

Heng Peng, Hongjia Yan and Wenyang Zhang

Journal of Nonparametric Statistics, 2013, vol. 25, issue 2, 475-485

Abstract: Both Akaike information criterion and cross-validation are important tools in model selection. Stone [(1977), 'An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaikes Criterion', Journal of the Royal Statistical Society, Series B , 39, 44-47] established the equivalence of these two criteria for parametric models. In this paper, we build a similar equivalence for a large semiparametric family.

Date: 2013
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DOI: 10.1080/10485252.2013.767338

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