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CSDA
2006

GACV for quantile smoothing splines

13 years 10 months ago
GACV for quantile smoothing splines
Quantile smoothing splines provide nonparametric estimation of conditional quantile functions. Like other nonparametric smoothing techniques, the choice of smoothing parameters considerably affects the performance of quantile smoothing splines. The robust cross-validation (RCV) has been commonly used as a tuning criterion in practice. To explain its success, Oh et al. (J. Roy. Statist. Soc. Ser. A, in press) argued that the RCV curve, as a function of smoothing parameters in quantile smoothing splines, differs from the mean squared error (MSE) curve only by a constant. In this article, we consider an alternative loss function, the generalized comparative Kullback
Ming Yuan
Added 11 Dec 2010
Updated 11 Dec 2010
Type Journal
Year 2006
Where CSDA
Authors Ming Yuan
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