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dc.contributor.authorXu, Ganggang
dc.contributor.authorHuang, Jianhua Z.
dc.date.accessioned2016-02-25T12:43:14Z
dc.date.available2016-02-25T12:43:14Z
dc.date.issued2012-12
dc.identifier.citationXu G, Huang JZ (2012) Asymptotic optimality and efficient computation of the leave-subject-out cross-validation. The Annals of Statistics 40: 3003–3030. Available: http://dx.doi.org/10.1214/12-AOS1063.
dc.identifier.issn0090-5364
dc.identifier.doi10.1214/12-AOS1063
dc.identifier.urihttp://hdl.handle.net/10754/597623
dc.description.abstractAlthough the leave-subject-out cross-validation (CV) has been widely used in practice for tuning parameter selection for various nonparametric and semiparametric models of longitudinal data, its theoretical property is unknown and solving the associated optimization problem is computationally expensive, especially when there are multiple tuning parameters. In this paper, by focusing on the penalized spline method, we show that the leave-subject-out CV is optimal in the sense that it is asymptotically equivalent to the empirical squared error loss function minimization. An efficient Newton-type algorithm is developed to compute the penalty parameters that optimize the CV criterion. Simulated and real data are used to demonstrate the effectiveness of the leave-subject-out CV in selecting both the penalty parameters and the working correlation matrix. © 2012 Institute of Mathematical Statistics.
dc.description.sponsorshipSupported in part by Award Number KUS-CI-016-04, made by King Abdullah University of Science and Technology (KAUST).Supported in part by NSF Grants DMS-09-07170, DMS-10-07618, DMS-12-08952 and NCI Grant CA57030.
dc.publisherInstitute of Mathematical Statistics
dc.subjectCross-validation
dc.subjectGeneralized estimating equations
dc.subjectMultiple smoothing parameters
dc.subjectPenalized splines
dc.subjectWorking correlation matrices
dc.titleAsymptotic optimality and efficient computation of the leave-subject-out cross-validation
dc.typeArticle
dc.identifier.journalThe Annals of Statistics
dc.contributor.institutionTexas A and M University, College Station, United States
kaust.grant.numberKUS-CI-016-04


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