Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours

DOI10.1080/10485252.2012.716836zbMath1284.62214OpenAlexW2100008277MaRDI QIDQ3145414

Paola Gloria Ferrario, Harro Walk

Publication date: 20 December 2012

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2012.716836

zbMATH Keywords

rate of convergencenearest neighboursstrong and weak consistencypartitioning estimationresidual and local variance

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (5)

A nearest neighbor estimate of the residual variance ⋮ Variance function estimation in regression model via aggregation procedures ⋮ Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition ⋮ Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods ⋮ Partitioning estimation of local variance based on nearest neighbors under censoring

Cites Work

• Variance estimation for high-dimensional regression models
• Variance function estimation in multivariate nonparametric regression with fixed design
• An Efron-Stein inequality for nonsymmetric statistics
• Estimation of heteroscedasticity in regression analysis
• Local polynomial estimators of the volatility function in nonparametric autoregression
• A wavelet-based nonparametric estimator of the variance function
• A distribution-free theory of nonparametric regression
• Residual variance estimation using a nearest neighbor statistic
• On variance function estimation with quadratic forms
• Effect of mean on variance function estimation in nonparametric regression
• Variance estimation in nonparametric regression via the difference sequence method
• Rates of convergence for partitioning and nearest neighbor regression estimates with unbounded data
• Nonparametric regression with additional measurement errors in the dependent variable
• Nonparametric Recursive Variance Estimation
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Efficient estimation of conditional variance functions in stochastic regression
• Estimating the error variance in nonparametric regression by a covariate-matched u-statistic
• The estimation problem of minimum mean squared error
• On Difference-Based Variance Estimation in Nonparametric Regression When the Covariate is High Dimensional
• Fully Data-Driven Nonparametric Variance Estimators
• Non-parametric estimation of residual moments and covariance

This page was built for publication: Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours