Optimal signal estimation using cross-validation
- 1 January 1997
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Signal Processing Letters
- Vol. 4 (1) , 23-25
- https://doi.org/10.1109/97.551692
Abstract
This letter develops an optimal, nonlinear estimator of a deterministic signal in noise. The methods of penalized least-squares and cross-validation (CV) balance the bias-variance tradeoff and lead to a closed form expression for the estimator. The estimator is simultaneously optimal in a "small-sample", predictive sum of squares sense and asymptotically optimal in the mean square sense.Keywords
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