Variance Estimation in Nonparametric Regression via the Difference Sequence Method
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Statistics Papers
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nonparametric regression
variance estimation
asymptotic minimaxity
Statistics and Probability
variance estimation
asymptotic minimaxity
Statistics and Probability
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Brown, Lawrence D
Levine, Michael
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Abstract
Consider a Gaussian nonparametric regression problem having both an unknown mean function and unknown variance function. This article presents a class of difference-based kernel estimators for the variance function. Optimal convergence rates that are uniform over broad functional classes and bandwidths are fully characterized, and asymptotic normality is also established. We also show that for suitable asymptotic formulations our estimators achieve the minimax rate.
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2007-01-01
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The Annals of Statistics