Fully Data-Driven Nonparametric Variance Estimators

DOI10.1080/02331889408802445zbMath0811.62047OpenAlexW1982045964MaRDI QIDQ4763457

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 riskkernel estimatornonparametric regressionoptimal convergence ratevariance estimationuniform convergence rateSobolev classesbandwidth choiceestimated residuals

Mathematics Subject Classification ID

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

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• Adapting for heteroscedasticity in linear models
• Optimal bandwidth selection in nonparametric regression function estimation
• Estimation of heteroscedasticity in regression analysis
• Optimal rates of convergence for nonparametric estimators
• Optimal global rates of convergence for nonparametric regression
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• On variance estimation in nonparametric regression
• Asymptotic Properties of Non-Linear Least Squares Estimators

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