Abstract
We describe a class of smoothed orthogonal series density estimates, including the classical sequential-series introduced by Čencov (1962, Soviet Math. Dokl. 3 1559–1562) and Schwartz (1967, Ann. Math. Statist. 38 1261–1265), and Wahba's (1981, Ann. Statist 9 146–156) two-parameter smoothing. The Bowman-Rudemo method of least-squares cross-validation (1982, Manchester-Sheffield School of Probability and Statistics Research Report 84/AWB/1; 1984, Biometrika 71 353–360; Rudemo, 1982, Scand. J. Statist. 9 65–78), is suggested as a practical way of choosing smoothing parameters automatically. Using techniques of Stone (1983, Proceedings, Neyman-Kiefer Meeting, Cornell University, Ithaca, N.Y; 1984, Ann. Statist. 12 1285–1297), that method is shown to perform asymptotically optimally in the case of cosine and Hermite series estimators. The same argument may be used for other types of series.
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