Residual variance estimation using a nearest neighbor statistic

Authors:
Elia Liitiäinen;Francesco Corona;Amaury Lendasse
Affiliations:
Department of Information and Computer Science, Helsinki University of Technology, P.O. Box 5400 HUT, Finland;Department of Information and Computer Science, Helsinki University of Technology, P.O. Box 5400 HUT, Finland;Department of Information and Computer Science, Helsinki University of Technology, P.O. Box 5400 HUT, Finland
Venue:
Journal of Multivariate Analysis
Year:
2010

Citing 7
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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 (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.