THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS

B-Tier
Journal: Econometric Theory
Year: 2005
Volume: 21
Issue: 5
Pages: 1017-1025

Authors (2)

Li, Qi (Texas A&M University) Zhou, Jianxin (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We investigate the issue of the uniqueness of the cross-validation selected smoothing parameters in kernel estimation of multivariate nonparametric regression or conditional probability functions. When the covariates are all continuous variables, we provide a necessary and sufficient condition, and when the covariates are a mixture of categorical and continuous variables, we provide a simple sufficient condition that guarantees asymptotically the uniqueness of the cross-validation selected smoothing parameters.We thank a referee for the constructive comments.

Technical Details

RePEc Handle
repec:cup:etheor:v:21:y:2005:i:05:p:1017-1025_05
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25