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Cross-validation and the estimation of probability distributions with categorical data 

Authors: Desheng Ouyang a;  Qi Li bc; Jeffrey Racine d
Affiliations:   a School of Economics, Shanghai University of Finance and Economics, Shanghai, P.R. China
b Department of Economics, Texas A&M University, TX, USA
c Department of Economics, Tsinghua University, Beijing, P.R. China
d Department of Economics, McMaster University, Hamilton, Canada
DOI: 10.1080/10485250600569002
Publication Frequency: 8 issues per year
Published in: journal Journal of Nonparametric Statistics, Volume 18, Issue 1 January 2006 , pages 69 - 100
Formats available: HTML (English) : PDF (English)
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Abstract

In this paper, we consider the problem of estimating a joint distribution that is defined over a set of discrete variables. We use a smoothing kernel estimator to estimate the joint distribution. We allow for the case in which some of the discrete variables are uniformly distributed, and explicitly address the vector-valued smoothing parameter case due to its practical relevance. We show that the cross-validated smoothing parameters differ in their asymptotic behavior depending on whether a variable is uniformly distributed or not. We also discuss the mixed discrete and continuous variable case. Simulations show that the proposed estimator performs much better than the commonly used frequency estimator.
Keywords: Discrete variable; Probability estimation; Non-parametric smoothing; Cross-validation
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