An efficient algorithm for T-estimation

Abstract : We introduce an efficient and exact algorithm, together with a faster but approximate version, which implements with a sub-quadratic complexity the hold-out derived from T-estimation. We study empirically the performance of this hold-out in the context of density estimation considering well-known competitors (hold-out derived from least-squares or Kullback-Leibler divergence, model selection procedures, etc.) and classical problems including histogram or bandwidth selection. Our algorithms are integrated in a companion R-package called Density.T.HoldOut available on the CRAN
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https://hal.archives-ouvertes.fr/hal-00986229
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Submitted on : Thursday, May 1, 2014 - 9:31:29 PM
Last modification on : Monday, February 10, 2020 - 6:13:44 PM
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Nelo Magalhães, Yves Rozenholc. An efficient algorithm for T-estimation. 2014. ⟨hal-00986229⟩

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