One Sided Crossvalidation for Density Estimation

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Miranda, M. D. M. ; Nielsen, J. P. ; Sperlich, S. (2009)
  • Publisher: John Wiley and Sons
  • Subject: HB

We introduce one-sided cross-validation to nonparametric kernel density estimation. The method is more stable than classical cross-validation and it has a better overall performance comparable to what we see in plug-in methods. One-sided cross-validation is a more direct date driven method than plugin methods with weaker assumptions of smoothness since it does not require a smooth pilot with consistent second derivatives. Our conclusions for one-sided kernel density cross-validation are similar to the conclusions obtained by Hart and Li (1998) when they introduced one-sided cross-validation in the regression context. An extensive simulation study conms that our one-sided cross-validation clearly outperforms the simple cross validation. We conclude with real data applications.
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