Optimal variance estimation based on lagged second-order difference in nonparametric regression

DOI10.1007/S00180-016-0666-2MaRDI QIDQ2403403zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Wenwu Wang, Lu Lin, Li Yu

Publication date 8 September 2017

Published in Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00180-016-0666-2

zbMATH Keywords

least squaresnonparametric variance estimationoptimal differenced estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• scientific article; zbMATH DE number 4100415 (Why is no real title available?)
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• Asymptotically optimal differenced estimators of error variance in nonparametric regression
• Bandwidth choice for nonparametric regression
• Derivative estimation based on difference sequence via locally weighted least squares regression
• Discontinuous versus smooth regression
• Estimating residual variance in nonparametric regression using least squares
• Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
• Estimating the error variance in nonparametric regression by a covariate-matched u-statistic
• Estimation of heteroscedasticity in regression analysis
• Fully Data-Driven Nonparametric Variance Estimators
• Nonparametric estimation of residual variance revisited
• On Difference-Based Variance Estimation in Nonparametric Regression When the Covariate is High Dimensional
• On estimation of noise variance in two-dimensional signal processing
• On variance estimation in nonparametric regression
• Optimal difference-based variance estimation in heteroscedastic nonparametric regression
• Optimal variance estimation without estimating the mean function
• Residual variance and residual pattern in nonlinear regression
• Smoothing splines. Methods and applications
• The estimation of residual variance in nonparametric regression
• Variance estimation in nonparametric regression with jump discontinuities

Cited in

(7)

• Optimal difference-based variance estimation in heteroscedastic nonparametric regression
• Robust and efficient derivative estimation under correlated errors
• Robust estimation of nonparametric function via addition sequence
• Efficient error variance estimation in non‐parametric regression
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Optimal difference-based estimation for partially linear models
• On variance estimation under shifts in the mean

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