skip to primary navigationskip to content
 

Centre for Financial Research - Statistics Seminar

When Jun 03, 2011
from 04:00 PM to 05:00 PM
Where MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB
Contact Name
Add event to calendar vCal
iCal

Tatyana Krivobokova (Goettingen)

Title: Smoothing parameter selection for spline estimators

In contrast to other nonparameteric regression techniques, smoothing parameter selection for spline estimators can be performed not only by employing criteria that approximate the average mean squared error (e.g. generalized cross validation), but also by making use of the maximum likelihood (or empirical Bayes) paradigm. In the later case, the function to be estimated is assumed to be a realization of some stochastic process, rather than from a certain class of smooth functions. Under this assumption both smoothing parameter selectors for spline estimators are well-studied and known to perform similar. A more interesting problem is the properties of smoothing parameter estimators in the frequentist framework, that is if the underlying function is non-random. In this talk we discuss the asymptotic properties of both smoothing parameter selection criteria for general low-rank spline smoothers in the frequentist framework and give also insights into their small sample performance.

« February 2017 »
February
MoTuWeThFrSaSu
12345
6789101112
13141516171819
20212223242526
2728

RSS Feed Latest news

CERF PhD Scholarship competition 2017 - now closed

Nov 08, 2016

For the fifth year, Cambridge Endowment for Research in Finance is offering a scholarship scheme.

View all news

Upcoming events

Cambridge Finance Workshop - H. Peyton Young

Mar 09, 2017

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Erwan Morellec

May 04, 2017

Room W4.03, Cambridge Judge Business School

Previous events

Upcoming events