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Robustness of one-sided cross-validation to autocorrelation

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  • Hart, Jeffrey D.
  • Lee, Cherng-Luen

Abstract

The effects of moderate levels of serial correlation on one-sided and ordinary cross-validation in the context of local linear and kernel smoothing is investigated. It is shown both theoretically and by simulation that one-sided cross-validation is much less adversely affected by correlation than is ordinary cross-validation. The former method is a reliable means of window width selection in the presence of moderate levels of serial correlation, while the latter is not. It is also shown that ordinary cross-validation is less robust to correlation when applied to Gasser-Müller kernel estimators than to local linear ones.

Suggested Citation

  • Hart, Jeffrey D. & Lee, Cherng-Luen, 2005. "Robustness of one-sided cross-validation to autocorrelation," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 77-96, January.
    • Handle: RePEc:eee:jmvana:v:92:y:2005:i:1:p:77-96
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    References listed on IDEAS

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    1. Chiu, Shean-Tsong & Marron, J. S., 1990. "The negative correlations between data-determined bandwidths and the optimal bandwidth," Statistics & Probability Letters, Elsevier, vol. 10(2), pages 173-180, July.
    2. I. Gijbels & A. Pope & M. P. Wand, 1999. "Understanding exponential smoothing via kernel regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 39-50.
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    Cited by:

    1. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    2. Patrick Carmack & Jeffrey Spence & William Schucany, 2012. "Generalised correlated cross-validation," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(2), pages 269-282.
    3. María Luz Gámiz & Enno Mammen & María Dolores Martínez Miranda & Jens Perch Nielsen, 2016. "Double one-sided cross-validation of local linear hazards," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 755-779, September.
    4. Gámiz Pérez, M. Luz & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2013. "Smoothing survival densities in practice," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 368-382.
    5. Olga Y. Savchuk & Jeffrey D. Hart, 2017. "Fully robust one-sided cross-validation for regression functions," Computational Statistics, Springer, vol. 32(3), pages 1003-1025, September.

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