E?ciency of the V-fold model selection for localized bases

Fabien Navarro () and Adrien Saumard ()
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Fabien Navarro: CREST;ENSAI
Adrien Saumard: CREST;ENSAI

No 2017-65, Working Papers from Center for Research in Economics and Statistics

Abstract: Many interesting functional bases, such as piecewise polynomials or wavelets, are examples of localized bases. We investigate the optimality of V-fold cross-validation and a variant called V-fold penalization in the context of the selection of linear models generated by localized bases in a heteroscedastic framework. It appears that while V-fold cross-validation is not asymptotically optimal when V is ?xed, the V-fold penalization procedure is optimal. Simulation studies are also presented.

Keywords: V-fold cross-validation; V-fold penalization; model selection; nonparametric regression; heteroscedastic noise; random design; wavelets (search for similar items in EconPapers)
Pages: 12 pages
Date: 2017-11-04
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