Yao, Qiwei 
ORCID: 0000-0003-2065-8486 and Tong, Howell
(1994)
On subset selection in non-parametric stochastic regression.
Statistica Sinica, 4 (1).
pp. 51-70.
ISSN 1017-0405
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Abstract
This paper is concerned with the use of a cross-validation method based on the kernel estimate of the conditional mean for the subset selection of stochastic regressors within the framework of non-linear stochastic regression. Under the assumption that the observations are strictly stationary and absolutely regular, we show that the cross-validatory selection is consistent. Furthermore, two kinds of asymptotic efficiency of the selected model are proved. Both simulated and real data are used as illustrations.
| Item Type: | Article |
|---|---|
| Official URL: | http://www3.stat.sinica.edu.tw/statistica/ |
| Additional Information: | © 1994 Academia Sinica |
| Divisions: | Economics Statistics |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HA Statistics |
| Date Deposited: | 07 Jul 2008 14:57 |
| Last Modified: | 11 Dec 2024 22:00 |
| URI: | http://eprints.lse.ac.uk/id/eprint/6409 |
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