Fully Data-Driven Nonparametric Variance Estimators

DOI10.1080/02331889408802445MaRDI QIDQ4763457zbMATH OpenOpenAlexFDO

Authors Michael H. Neumann

Publication date 10 April 1995

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889408802445

zbMATH Keywords

asymptotic efficiencyasymptotic minimax riskbandwidth choiceestimated residualskernel estimatornonparametric regressionoptimal convergence rateSobolev classesuniform convergence ratevariance estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• Adapting for heteroscedasticity in linear models
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Estimation of heteroscedasticity in regression analysis
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• On variance estimation in nonparametric regression
• Optimal bandwidth selection in nonparametric regression function estimation
• Optimal global rates of convergence for nonparametric regression
• Optimal rates of convergence for nonparametric estimators

Cited in

(21)

• Asymptotically optimal differenced estimators of error variance in nonparametric regression
• Adaptive estimation of mean and volatility functions in (auto-)regressive models.
• Model checks for parametric regression models
• Optimal variance estimation based on lagged second-order difference in nonparametric regression
• Effect of mean on variance function estimation in nonparametric regression
• Nonparametric regression with additional measurement errors in the dependent variable
• Nonparametric estimation of variance function for functional data under mixing conditions
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
• Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours
• scientific article; zbMATH DE number 4056820 (Why is no real title available?)
• A simple bootstrap method for constructing nonparametric confidence bands for functions
• Nonparametric estimation of a log-variance function in scale-space
• Error variance estimation via least squares for small sample nonparametric regression
• Pointwise Confidence Intervals in Nonparametric Regression with Heteroscedastic Error Structure
• scientific article; zbMATH DE number 1551794 (Why is no real title available?)
• Rate of convergence of the density estimation of regression residual
• Variance function estimation in regression model via aggregation procedures
• Variance estimation for high-dimensional regression models
• Partitioning estimation of local variance based on nearest neighbors under censoring
• Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach
• Nonparametric variance function estimation with missing data

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