Asymptotic approximation of nonparametric regression experiments with unknown variances
From MaRDI portal
Abstract: Asymptotic equivalence results for nonparametric regression experiments have always assumed that the variances of the observations are known. In practice, however the variance of each observation is generally considered to be an unknown nuisance parameter. We establish an asymptotic approximation to the nonparametric regression experiment when the value of the variance is an additional parameter to be estimated or tested. This asymptotically equivalent experiment has two components: the first contains all the information about the variance and the second has all the information about the mean. The result can be extended to regression problems where the variance varies slowly from observation to observation.
Recommendations
- scientific article; zbMATH DE number 706373
- scientific article; zbMATH DE number 3988478
- Asymptotic behavior of nonparametric regression estimators
- Asymptotically optimal difference-based estimation of variance in nonparametric regression
- The Asymptotic Distribution of Nonlinear Regression Parameter Estimates: Improving the Approximation
- On variance estimation in nonparametric regression
- Asymptotically efficient estimates for nonparametric regression models
- Asymptotic distribution of an estimator of the variance of observations in a nonlinear regression model
Cites work
- A continuous Gaussian approximation to a nonparametric regression in two dimensions
- Asymptotic equivalence for nonparametric generalized linear models
- Asymptotic equivalence of nonparametric regression and white noise
- Asymptotic equivalence theory for nonparametric regression with random design
- Asymptotic methods in statistical decision theory
- Asymptotically optimal difference-based estimation of variance in nonparametric regression
- Asymptotics in statistics. Some basic concepts.
- Bandwidth choice for nonparametric regression
- Efficient estimation of conditional variance functions in stochastic regression
- Estimation of heteroscedasticity in regression analysis
- scientific article; zbMATH DE number 2131215 (Why is no real title available?)
- scientific article; zbMATH DE number 472928 (Why is no real title available?)
- scientific article; zbMATH DE number 739533 (Why is no real title available?)
- Ideal spatial adaptation by wavelet shrinkage
- Local Polynomial Variance-Function Estimation
- Minimax estimation via wavelet shrinkage
- Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
- On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise
- Optimal filtering of square-integrable signals in Gaussian noise
- Robust nonparametric regression with simultaneous scale curve estimation
- Sufficiency and Approximate Sufficiency
- Testing Heteroscedasticity In Nonparametric Regression
- Wavelets, approximation, and statistical applications
Cited in
(14)- Asymptotic equivalence theory for nonparametric regression with random design
- Asymptotic equivalence for nonparametric regression with non-regular errors
- Asymptotic equivalence for nonparametric regression with dependent errors: Gauss-Markov processes
- Regression discontinuity designs, white noise models, and minimax
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
- Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
- Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
- Limit experiments of GARCH
- Le Cam theory on the comparison of statistical models
- Asymptotically sufficient statistics in nonparametric regression experiments with correlated noise
- Asymptotic equivalence of functional linear regression and a white noise inverse problem
- Asymptotic equivalence of locally stationary processes and bivariate Gaussian white noise
- Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
- Asymptotic equivalence for nonparametric regression with multivariate and random design
This page was built for publication: Asymptotic approximation of nonparametric regression experiments with unknown variances
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2456015)
