Large Sample Optimality of Least Squares Cross-Validation in Density Estimation
Large Sample Optimality of Least Squares Cross-Validation in Density Estimation
We prove that the method of cross-validation suggested by A. W. Bowman and M. Rudemo achieves its goal of minimising integrated square error, in an asymptotic sense. The tail conditions we impose are only slightly more severe than the hypothesis of finite variance, and so least squares cross-validation does not …