Variance estimation for high-dimensional regression models

DOI10.1006/JMVA.2001.2023zbMATH Open1010.62033OpenAlexW2062318306MaRDI QIDQ697472FDOQ697472

V. G. Spokoiny

Publication date: 17 September 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3972

zbMATH Keywords

variance estimationhigh dimension

Mathematics Subject Classification ID

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

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Cited In (29)

• MODELING AND ESTIMATING VARIANCES IN REGRESSION
• Frame-constrained total variation regularization for white noise regression
• Asymptotics for Euclidean functionals of mixing processes
• Adaptive minimax optimality in statistical inverse problems via SOLIT—Sharp Optimal Lepskiĭ-Inspired Tuning
• Title not available (Why is that?)
• Variational multiscale nonparametric regression: smooth functions
• Asymptotically optimal differenced estimators of error variance in nonparametric regression
• Title not available (Why is that?)
• Strictly monotone and smooth nonparametric regression for two or more variables
• Partitioning estimation of local variance based on nearest neighbors under censoring
• Optimal estimation of variance in nonparametric regression with random design
• Residual variance estimation using a nearest neighbor statistic
• Estimating residual variance in random forest regression
• Nonparametric measures of variance explained
• Principal varying coefficient estimator for high-dimensional models
• Nonparametric least squares estimation in derivative families
• High-dimensional estimation of quadratic variation based on penalized realized variance
• A framework to select tuning parameters for nonparametric derivative estimation
• Estimation of high-dimensional seemingly unrelated regression models
• Deep learning for inverse problems with unknown operator
• Variance function estimation in multivariate nonparametric regression with fixed design
• Use and Abuse of Variance Models in Regression
• Spatial adaptation in heteroscedastic regression: propagation approach
• Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach
• Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours
• Title not available (Why is that?)
• Variance estimation in nonparametric regression via the difference sequence method
• Locally adaptive estimation of evolutionary wavelet spectra
• Measuring Nonlinear Granger Causality in Mean

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