Title

Asymptotic Optimality of Generalized CL, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors

Document Type

Discussion Paper

Publication Date

5-1-1989

CFDP Number

906

CFDP Pages

24

Abstract

The problem considered here is that of using a data-driven procedure to select a good estimate from a class of linear estimates indexed by a discrete parameter. In contrast to other papers on this subject, we consider models with heteroskedastic errors. The results apply to model selection problems in linear regression and to nonparametric regression estimation via series estimators, nearest neighbor estimators, and local regression estimators, among others. Generalized C L , cross-validation, and generalized cross-validation procedures are analyzed.

This document is currently not available here.

Share

COinS