Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process

DOI10.3150/08-BEJ127zbMath1155.62029arXiv0802.3364OpenAlexW2124620163MaRDI QIDQ1002545

Hannes Leeb

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.3364

zbMATH Keywords

model selectiongeneralized cross validationnonparametric regressionout-of-sample prediction\(S_p\) criterionlarge number of parameters and small sample size

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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