Cross-Validating Non-Gaussian Data |
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Authors: | Chong Gu |
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Institution: | Department of Statistics , Purdue University , West Lafayette , IN , 47907 , USA |
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Abstract: | Abstract This article describes an appropriate way of implementing the generalized cross-validation method and some other least-squares-based smoothing parameter selection methods in penalized likelihood regression problems, and explains the rationales behind it. Simulations of limited scale are conducted to back up the semitheoretical analysis. |
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Keywords: | Generalized cross-validation Performance-oriented iteration Pseudodata Smoothing parameter Unbiased risk estimate |
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