The connection between cross-validation and Akaike information criterion in a semiparametric family

Heng PENG, Hongjia Yan, Wenyang Zhang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Both Akaike information criterion and cross-validation are important tools in model selection. Stone [(1977), 'An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaikes Criterion', Journal of the Royal Statistical Society, Series B, 39, 44-47] established the equivalence of these two criteria for parametric models. In this paper, we build a similar equivalence for a large semiparametric family.

Original languageEnglish
Pages (from-to)475-485
Number of pages11
JournalJournal of Nonparametric Statistics
Volume25
Issue number2
DOIs
Publication statusPublished - Jun 2013

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • AIC
  • cross-validation
  • kernel smoothing
  • semiparametric family

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