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On statistical properties of some dierence-based error variance estimators in nonparametric regression with a finite sample  

Park, Chun-Gun (Department of Mathematics, Kyonggi University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.3, 2011 , pp. 575-587 More about this Journal
Abstract
We investigate some statistical properties of several dierence-based error variance estimators in nonparametric regression model. Most of existing dierence-based methods are developed under asymptotical properties. Our focus is on the exact form of mean and variance for the lag-k dierence-based estimator and the second-order dierence-based estimator in a nite sample size. Our approach can be extended to Tong's estimator (2005) and be helpful to obtain optimal k.
Keywords
Dierence-based estimator; error variance; Lipschitz condition; nonparametric regression; Taylor formula;
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Times Cited By KSCI : 3  (Citation Analysis)
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