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Local Polynomial Variance-Function Estimation

På svenska

Author

  • David Ruppert
  • Matt, P. Wand
  • Ulla Holst
  • Ola Hössjer

Summary, in English

The conditional variance function in a heteroscedastic, nonparametric regression model is estimated by linear smoothing of squared residuals. Attention is focused on local polynomial smoothers. Both the mean and variance functions are assumed to be smooth, but neither is assumed to be in a parametric family. The biasing effect of preliminary estimation of the mean is studied, and a degrees-of-freedom correction of bias is proposed. The corrected method is shown to be adaptive in the sense that the variance function can be estimated with the same asymptotic mean and variance as if the mean function were known. A proposal is made for using standard bandwidth selectors for estimating both the mean and variance functions. The proposal is illustrated with data from the LIDAR method of measuring atmospheric pollutants and from turbulence-model computations.

Publishing year

1997

Language

English

Pages

262-273

Publication/Series

Technometrics

Volume

39

Issue

3

Document type

Journal article

Publisher

American Statistical Association

Topic

  • Probability Theory and Statistics

Keywords

  • smoother matrix
  • regression
  • nonparametric
  • kernel smoothing
  • Bandwidth
  • heteroscedasticity

Status

Published

ISBN/ISSN/Other

  • ISSN: 0040-1706