Efficient error variance estimation in non‐parametric regression

DOI10.1111/ANZS.12311MaRDI QIDQ6081852zbMATH OpenOpenAlexFDO

Authors Zhi-Jian Li, Wei Lin

Publication date 5 October 2023

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/anzs.12311

zbMATH Keywords

efficient estimatorerror variancehomogeneous errorsnonparametric regressionsemiparametric method

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

• A covariate-matched estimator of the error variance in nonparametric regression
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Asymptotically optimal differenced estimators of error variance in nonparametric regression
• Bandwidth choice for nonparametric regression
• Estimating residual variance in nonparametric regression using least squares
• Estimating the error variance in nonparametric regression by a covariate-matched u-statistic
• Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• scientific article; zbMATH DE number 1181283 (Why is no real title available?)
• Nonparametric econometrics. Theory and practice.
• On variance estimation in nonparametric regression
• Optimal variance estimation based on lagged second-order difference in nonparametric regression
• Optimal variance estimation without estimating the mean function
• Residual variance and residual pattern in nonlinear regression
• Semiparametric efficiency bounds
• Semiparametric theory and missing data.
• The estimation of residual variance in nonparametric regression
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Cited in

(11)

• Estimating linear functionals of the error distribution in nonparametric regression
• Asymptotically optimal differenced estimators of error variance in nonparametric regression
• Regression-based variance reduction approach for strong approximation schemes
• Dependence of variance on covariate design in nonparametric link regression
• A comparison of error variance estimates in nonparametric mixed models
• Estimation of observation-error variance in errors-in-variables regression
• On variance estimation in nonparametric regression
• Estimating residual variance in nonparametric regression using least squares
• Estimating the error variance in nonparametric regression by a covariate-matched u-statistic
• Error variance function estimation in nonparametric regression models
• Comparative study of residual variance estimators constructed without or with the presence of atypical values: case of the partially linear model

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