DATA‐DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS
DATA‐DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS
复制标题
预测函数的数据相关估计
DOI：
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发表时间：
1992
期刊：
影响因子：
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通讯作者：
D. Nolan
中科院分区：
文献类型：
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作者：
P. Burman;D. Nolan
。发展了模型选择的交叉验证技术，其中的观测数据具有类似鞅的结构。有人争辩说，交叉验证在这种更普遍的环境中不加改变地起作用。文中详细讨论了平稳马尔可夫过程的具体例子。通过最小化预测误差的交叉验证版本，从样条族集合中选择该过程的一步预测函数的估计。建立了估计的渐近最优性。
. The technique of cross-validation for model selection where the observations have martingale-like structure is developed. It is argued that cross-validation works, unaltered, in this more general setting. The specific example of the stationary Markov process is considered in detail. An estimate of the one-step prediction function of this process is selected from a collection of splines by minimizing the cross-validatory version of the prediction error. Asymptotic optimality of the estimate is established.