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A new V-fold type procedure based on robust tests

Abstract : We define a general V-fold cross-validation type method based on robust tests, which is an extension of the hold-out defined by Birgé [7, Section 9]. We give some theoretical results showing that, under some weak assumptions on the considered statistical procedures , our selected estimator satisfies an oracle type inequality. We also introduce a fast algorithm that implements our method. Moreover we show in our simulations that this V-fold performs generally well for estimating a density for different sample sizes, and can handle well-known problems, such as binwidth selection for histograms or bandwidth selection for kernels. We finally provide a comparison with other classical V-fold methods and study empirically the influence of the value of V on the risk.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-01163771
Contributor : Nelo Magalhães <>
Submitted on : Monday, June 15, 2015 - 3:19:26 PM
Last modification on : Wednesday, July 1, 2020 - 10:12:02 AM
Document(s) archivé(s) le : Tuesday, April 25, 2017 - 8:14:06 AM

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Distributed under a Creative Commons Attribution - NonCommercial 4.0 International License

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  • HAL Id : hal-01163771, version 1
  • ARXIV : 1506.04692

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Lucien Birgé, Nelo Magalhães, Pascal Massart. A new V-fold type procedure based on robust tests. 2015. ⟨hal-01163771⟩

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