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 (max. 100)

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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