Asymptotically efficient estimators for nonparametric heteroscedastic regression models

DOI10.1016/J.STAMET.2008.02.009zbMATH Open1220.62039OpenAlexW2036041781MaRDI QIDQ537348FDOQ537348

Authors: J.-Y. Brua 

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

Recommendations

• Asymptotically efficient estimates for nonparametric regression models
• Adaptive estimators for nonparametric heteroscedastic regression models
• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
• Efficient estimation of regression models with heteroscedastic errors

zbMATH Keywords

nonparametric regressionasymptotic efficiencyminimaxkernel estimator

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• An Asymptotically Minimax Regression Estimator in the Uniform Norm up to Exact Constant
• Asymptotic minimax risk for sup-norm loss: Solution via optimal recovery
• Asymptotically efficient estimates for nonparametric regression models
• Asymptotically optimum kernels for density estimation at a point
• Geometrizing rates of convergence. III
• Sequential Design and Estimation in Heteroscedastic Nonparametric Regression

Cited In (8)

• 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
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• Asymptotically efficient estimates for nonparametric regression models
• Spatial adaptation in heteroscedastic regression: propagation approach
• Efficient robust nonparametric estimation in a semimartingale regression model
• Nonparametric estimation in a semimartingale regression model. II: Robust asymptotic efficiency

This page was built for publication: Asymptotically efficient estimators for nonparametric heteroscedastic regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q537348)