Algorithm to estimate the approximation accuracy of an empirical dependence (Q579807)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Algorithm to estimate the approximation accuracy of an empirical dependence |
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Algorithm to estimate the approximation accuracy of an empirical dependence (English)
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1986
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We propose an algorithm which estimates the finite-sample variance of the approximating function for an empirically fitted dependence. The difference between the estimated mean of the mean risk functional and the estimated variance of the measurement errors, both computed for the same sample, provides a suitable estimator.
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finite-sample variance
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empirically fitted dependence
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estimated mean of the mean risk functional
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estimated variance of the measurement errors
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