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Pré-Publication, Document De Travail Année : 2015

A new V-fold type procedure based on robust tests

Résumé

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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Dates et versions

hal-01163771 , version 1 (15-06-2015)

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Paternité - Pas d'utilisation commerciale

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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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