Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
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Publication:811062
DOI10.1016/0304-4076(91)90107-OzbMath0734.62069OpenAlexW2001746770MaRDI QIDQ811062
Publication date: 1991
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(91)90107-o
asymptotically optimalgeneralized cross-validationnonparametric regression estimationlinear estimatesdata-driven procedureheteroskedastic errorslocal regression estimatorsmodel selection problemsnearest-neighbor estimationnearest-neighbor estimatorsseries estimators
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