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Cross-validation for choosing resolution level for nonlinear wavelet curve estimators

Hall, Peter; Penev, S


We show that unless the target density is particularly smooth, cross-validation applied directly to nonlinear wavelet estimators produces an empirical value of primary resolution which fails, by an order of magnitude, to give asymptotic optimality. We note, too, that in the same setting, but for different reasons, cross-validation of the linear component of a wavelet estimator fails to give asymptotic optimality, if the primary resolution level that it suggests is applied to the nonlinear form...[Show more]

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
Source: Bernoulli


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