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On Gauss quadrature and partial cross validation

Kozek, A; Yin, Jiying


New estimators of expected values Ew(X) of functions of a random variable X are introduced. The new estimators are based on Gauss quadrature, a numerical method frequently used to approximate integrals over finite intervals. The estimators need a small number of numerical evaluations and hence are useful in partial cross validation (PCV) a numerical method for finding optimal smoothing parameters in nonparametric curve estimation. The PCV can considerably reduce the computational cost of the...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
Source: Computational Statistics and Data Analysis
DOI: 10.1016/S0167-9473(03)00040-9


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