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

Heng Peng; Hongjia Yan; Wenyang Zhang

doi:10.1080/10485252.2013.767338

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

Heng Peng
, Hongjia Yan
, Wenyang Zhang^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

2 Citations (Scopus)

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 language	English
Pages (from-to)	475-485
Number of pages	11
Journal	Journal of Nonparametric Statistics
Volume	25
Issue number	2
DOIs	https://doi.org/10.1080/10485252.2013.767338
Publication status	Published - Jun 2013

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AIC
cross-validation
kernel smoothing
semiparametric family

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10.1080/10485252.2013.767338

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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.",

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author = "Heng Peng and Hongjia Yan and Wenyang Zhang",

note = "Funding Information: This research is supported by the Singapore National Research Foundation under its Cooperative Basic Research Grant and administered by the Singapore Ministry of Healths National Medical Research Council (Grant No. NMRC/CBRG/0014/2012) and the Hong Kong GRF Grant (Grant No. HKBU201610)",

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AU - Zhang, Wenyang

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KW - kernel smoothing

KW - semiparametric family

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ER -

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

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