Abstract
In This Paper We Consider the Problem of Estimating E [(Y - E [Y {Divides} X])2] based on a Finite Sample of Independent, But Not Necessarily Identically Distributed, Random Variables (Xi, Yi) i = 1m. We Analyze the Theoretical Properties of a Recently Developed Estimator. It is Shown that the Estimator Has Many Theoretically Interesting Properties, While the Practical Implementation is Simple. © 2010 Elsevier Inc. All Rights Reserved.
Recommended Citation
E. Liitiäinen et al., "Residual Variance Estimation using a Nearest Neighbor Statistic," Journal of Multivariate Analysis, vol. 101, no. 4, pp. 811 - 823, Elsevier, Apr 2010.
The definitive version is available at https://doi.org/10.1016/j.jmva.2009.12.020
Department(s)
Engineering Management and Systems Engineering
Publication Status
Open Access
Keywords and Phrases
Nearest neighbors; Noise variance estimation; Nonparametric; Residual variance estimation
International Standard Serial Number (ISSN)
1095-7243; 0047-259X
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2024 Elsevier, All rights reserved.
Publication Date
01 Apr 2010
