Asymptotically efficient estimators for nonparametric heteroscedastic regression models
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Publication:537348
DOI10.1016/J.STAMET.2008.02.009zbMATH Open1220.62039arXiv0711.4725OpenAlexW2036041781MaRDI QIDQ537348FDOQ537348
Publication date: 20 May 2011
Published in: Statistical Methodology (Search for Journal in Brave)
Abstract: This paper concerns the estimation of the regression function at a given point in nonparametric heteroscedastic models with Gaussian noise or with noise having unknown distribution. In the two cases an asymptotically efficient kernel estimator is constructed for the minimax absolute error risk.
Full work available at URL: https://arxiv.org/abs/0711.4725
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Cited In (7)
- Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
- Adaptive estimators for nonparametric heteroscedastic regression models
- Asymptotically optimal differenced estimators of error variance in nonparametric regression
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- Asymptotically efficient estimates for nonparametric regression models
- Spatial adaptation in heteroscedastic regression: propagation approach
- Efficient robust nonparametric estimation in a semimartingale regression model
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