On Nonparametric Residual Variance Estimation

In this paper, the problem of residual variance estimation is examined. The problem is analyzed in a general setting which covers non-additive heteroscedastic noise under non-iid sampling. To address the estimation problem, we suggest a method based on nearest neighbor graphs and we discuss its convergence properties. The universality of the estimator makes it an ideal tool in problems with only little prior knowledge available.

• Type: Journal
• Year: 2008
• Where: NPL
• Authors: Elia Liitiäinen, Francesco Corona, Amaury Lendasse
• Keywords: Estimation Problem, Non-additive Heteroscedastic Noise, NPL 2008, Residual Variance Estimation