Optimal variance estimation based on lagged second-order difference in nonparametric regression
نویسندگان
چکیده
منابع مشابه
Optimal variance estimation based on lagged second-order difference in nonparametric regression
Differenced estimators of variance bypass the estimation of regression function and thus are simple to calculate. However, there exist two problems: most differenced estimators do not achieve the asymptotic optimal rate for the mean square error; for finite samples the estimation bias is also important and not further considered. In this paper, we estimate the variance as the intercept in a lin...
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ژورنال
عنوان ژورنال: Computational Statistics
سال: 2016
ISSN: 0943-4062,1613-9658
DOI: 10.1007/s00180-016-0666-2