Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression

DOI10.1214/08-EJS267zbMath1320.62092arXiv0807.2547OpenAlexW3103593996MaRDI QIDQ1951804

Xavier Gendre

Publication date: 24 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.2547

zbMATH Keywords

model selectionheteroscedasticityconvergence rateGaussian regressionKullback risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

Related Items (6)

Segmentation of the mean of heteroscedastic data via cross-validation ⋮ Model selection by resampling penalization ⋮ Nonparametric estimation of covariance functions by model selection ⋮ Gaussian linear model selection in a dependent context ⋮ Estimation of covariance functions by a fully data-driven model selection procedure and its application to Kriging spatial interpolation of real rainfall data ⋮ Regression function estimation on non compact support in an heteroscesdastic model

Uses Software

• R

Cites Work

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