Non‐parametric Estimation of the Residual Distribution

Michael G. Akritas and Ingrid Van Keilegom ()

Scandinavian Journal of Statistics, 2001, vol. 28, issue 3, 549-567

Abstract: Consider a heteroscedastic regression model Y=m(X) +σ(X)ε, where the functions m and σ are “smooth”, and ε is independent of X. An estimator of the distribution of ε based on non‐parametric regression residuals is proposed and its weak convergence is obtained. Applications to prediction intervals and goodness‐of‐fit tests are discussed.

Date: 2001
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