The estimation problem of minimum mean squared error

DOI10.1524/STND.21.1.15.20315MaRDI QIDQ4454293zbMATH OpenOpenAlexFDO

Authors Dominik Schäfer, László Györfi, Harro Walk, Luc Devroye

Publication date 8 March 2004

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/c1fc0f9b098519f241752bb92031efa33ba148b6

zbMATH Keywords

cross-validationmean squared errornearest neighbor estimate

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

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• A nearest neighbor estimate of the residual variance
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• Residual variance estimation using a nearest neighbor statistic
• Strong universal consistent estimate of the minimum mean squared error
• Rate of convergence of the density estimation of regression residual
• Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment
• Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours

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