Explicit solutions for the asymptotically-optimal bandwidth in cross validation

Karim M Abadir () and Michel Lubrano
Additional contact information
Karim M Abadir: American University in Cairo and Imperial College London

No 2336, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: We show that least squares cross-validation (CV) methods share a common structure which has an explicit asymptotic solution, when the chosen kernel is asymptotically separable in bandwidth and data. For density estimation with a multivariate Student t(ν) kernel, the CV criterion becomes asymptotically equivalent to a polynomial of only three terms. Our bandwidth formulae are simple and non-iterative (leading to very fast computations), their integrated squared-error dominates traditional CV implementations, they alleviate the notorious sample variability of CV, and overcome its breakdown in the case of repeated observations. We illustrate with univariate and bivariate applications, of density estimation and nonparametric regressions, to a large dataset of Michigan State University academic wages and experience.

Keywords: Bandwidth Choice; Cross Validation; Explicit Analytical Solution; Nonparametric Density Estimation; Academic Wages (search for similar items in EconPapers)
JEL-codes: C14 J31 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2023-12
New Economics Papers: this item is included in nep-ecm and nep-lma
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.amse-aixmarseille.fr/sites/default/fil ... /wp_2023_-_nr_36.pdf (application/pdf)

Related works:
Journal Article: Explicit solutions for the asymptotically optimal bandwidth in cross-validation (2024)
Working Paper: Explicit solutions for the asymptotically optimal bandwidth in cross-validation (2024)
Working Paper: Explicit solutions for the asymptotically-optimal bandwidth in cross validation (2023)
Working Paper: EXPLICIT SOLUTIONS FOR THE ASYMPTOTICALLY-OPTIMAL BANDWIDTH IN CROSS VALIDATION (2010)
Working Paper: Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:2336

Access Statistics for this paper

More papers in AMSE Working Papers from Aix-Marseille School of Economics, France AMU-AMSE - 5-9 Boulevard Maurice Bourdet, CS 50498 - 13205 Marseille Cedex 1. Contact information at EDIRC.
Bibliographic data for series maintained by Gregory Cornu ().