Cross-validation and non-parametric k nearest-neighbour estimation Academic Article uri icon


  • In this paper we consider the problem of estimating a non-parametric regression function using the k nearest-neighbour method. We provide asymptotic theories for the least-squares cross validation (CV) selected smoothing parameter k for both local constant and local linear estimation methods. We also establish the asymptotic normality results for the resulting non-parametric regression function estimators. Some limited Monte Carlo experiments show that the CV method performs well in finite sample applications. Royal Economic Society 2006.

published proceedings


author list (cited authors)

  • Ouyang, D., Li, D., & Li, Q. i.

citation count

  • 13

complete list of authors

  • Ouyang, Desheng||Li, Dong||Li, Qi

publication date

  • November 2006