Nonparametric Recursive Variance Estimation

DOI10.1080/02331889508802510zbMath0863.62034OpenAlexW2029370433MaRDI QIDQ2785881

Alexandre B. Tsybakov, Ulrich Stadtmüller

Publication date: 29 April 1997

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802510

zbMATH Keywords

nonparametric regressionvariance estimationspeed of convergencerecursive kernel estimatespointwise mean square convergence

Mathematics Subject Classification ID

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

Related Items

Real-time estimation for functional stochastic regression models, Rate of convergence of the density estimation of regression residual, Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods, Modelling conditional variance function in industrial data: a case study, Nonparametric regression with additional measurement errors in the dependent variable, Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours

Cites Work

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• Estimation of heteroscedasticity in regression analysis
• Robust nonparametric regression with simultaneous scale curve estimation
• Optimal rates of convergence for nonparametric estimators
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form