Residual variance estimation using a nearest neighbor statistic

Elia Liitiäinen, Francesco Corona and Amaury Lendasse

Journal of Multivariate Analysis, 2010, vol. 101, issue 4, 811-823

Abstract: In this paper we consider the problem of estimating E[(Y-E[Y|X])2] based on a finite sample of independent, but not necessarily identically distributed, random variables . 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.

Keywords: Residual; variance; estimation; Noise; variance; estimation; Nearest; neighbors; Nonparametric (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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