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.
Scopus Subject Areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- kernel smoothing
- semiparametric family