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- W1997479675 abstract "Abstract. The technique of cross-validation for model selection where the observations have martingale-like structure is developed. It is argued that cross-validation works, unaltered, in this more general setting. The specific example of the stationary Markov process is considered in detail. An estimate of the one-step prediction function of this process is selected from a collection of splines by minimizing the cross-validatory version of the prediction error. Asymptotic optimality of the estimate is established." @default.
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- W1997479675 title "DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS" @default.
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- W1997479675 doi "https://doi.org/10.1111/j.1467-9892.1992.tb00102.x" @default.
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