Consistency of cross-validation when the data are curves
Suppose one observes a random sample of n continuous time Gaussian processes on the interval [0, 1]; in other words, each observation is a curve. Of interest is estimating the common mean function of the processes by a kernel smoother. The bandwidth of the kernel estimator is chosen by a version of cross-validation in which deleting an observation means deleting one of the n curves. It is shown that using this form of cross-validation leads to an asymptotically optimal choice of bandwidth. This result is contrasted with the inconsistency of cross-validation in a seemingly more tractable problem.
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