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Biometrika 1982 69(2):383-390; doi:10.1093/biomet/69.2.383
© 1982 by Biometrika Trust
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Cross-validation in density estimation

PETER HALL

Department of Statistics, Faculty of Economics, Australian National University Canberra, Australia

We examine the cross-validatory method of choosing the window size when estimating a density on a bounded interval. Tt is shown that even if the resulting estimator is consistent it will perform suboptimally for large samples, and should be used cautiously. Alternative techniques, such as that proposed by Silverman (1978a), would be a wiser choice.

Key Words: Cross-validation • Density estimation • Large-sample theory • Monte Carlo trial • Window size


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