Residual variance estimation using a nearest neighbor statistic

Elia Liitiäinen; Francesco Corona; Amaury Lendasse

doi:10.1016/j.jmva.2009.12.020

Residual variance estimation using a nearest neighbor statistic

Elia Liitiäinen^*, Francesco Corona, Amaury Lendasse

^*Corresponding author for this work

Research output: Contribution to journal › Article › Scientific › peer-review

20 Citations (Scopus)

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 (X_i, Y_i)_{i = 1}^M. 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.

Original language	English
Pages (from-to)	811-823
Number of pages	13
Journal	Journal of Multivariate Analysis
Volume	101
Issue number	4
DOIs	https://doi.org/10.1016/j.jmva.2009.12.020
Publication status	Published - 1 Apr 2010
MoE publication type	A1 Journal article-refereed

Keywords

Nearest neighbors
Noise variance estimation
Nonparametric
Residual variance estimation

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10.1016/j.jmva.2009.12.020

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AU - Corona, Francesco

AU - Lendasse, Amaury

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KW - Nearest neighbors

KW - Noise variance estimation

KW - Nonparametric

KW - Residual variance estimation

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ER -

Residual variance estimation using a nearest neighbor statistic

Abstract

Keywords

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