City Research Online

Abstract

Recent contributions to kernel smoothing show that the performance of cross-validated bandwidth selectors improves significantly from indirectness and that the recent do-validated method seems to provide the most practical alternative among these methods. In this paper we show step by step how classical cross-validation improves in theory, as well as in practice, from indirectness and that do-validated estimators improve in theory, but not in practice, from further indirectness. This paper therefore provides a strong support for the practical and theoretical properties of do-validated bandwidth selection. Do-validation is currently being introduced to survival analysis in a number of contexts and this paper provides evidence that this might be the immediate step forward.

Publication Type:	Article
Additional Information:	NOTICE: this is the author’s version of a work that was accepted for publication in Journal of the Korean Statistical Society. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of the Korean Statistical Society, Volume 43, Issue 3, September 2014, Pages 355–365, http://dx.doi.org/10.1016/j.jkss.2013.11.001.
Publisher Keywords:	Kernel density estimation, Data-adaptive bandwidth selection, Indirect cross-validation, Do-validation
Subjects:	Q Science > QA Mathematics
Departments:	Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:	Symplectic Administrator

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