Journal Article10.1093/BIOMET/91.4.819
A crossvalidation method for estimating conditional densities
Jianqing Fan,Tsz Ho Yim +1 more
TL;DR: In this paper, the authors extend the idea of cross-validation to choose the smoothing parameters of the double-kernel local linear regression for estimating a conditional density, which optimises the estimated conditional density function by minimising the integrated squared error.
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Abstract: SUMMARY We extend the idea of crossvalidation to choose the smoothing parameters of the 'double-kernel' local linear regression for estimating a conditional density. Our selection rule optimises the estimated conditional density function by minimising the integrated squared error. We also discuss three other bandwidth selection rules, an ad hoc method used by Fan et al. (1996), a bootstrap method of Hall et al. (1999) for bandwidth selection in the estimation of conditional distribution functions, modified by Bashtannyk & Hyndman (2001) to cover conditional density functions, and finally a simple approach proposed by Hyndman & Yao (2002). The performance of the new approach is compared with these three methods by simulation studies, and our method performs outstandingly well. The method is illustrated by an application to estimating the transition density and the Value-at-Risk of treasury-bill data.
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Citations
Cross-validation and the estimation of conditional probability densities
TL;DR: This article shows that cross-validation produces asymptotically optimal smoothing for relevant components, while eliminating irrelevant components by oversmoothing in the problem of nonparametric estimation of a conditional density.
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