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NPL
2008

On Nonparametric Residual Variance Estimation

13 years 10 months ago
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.
Elia Liitiäinen, Francesco Corona, Amaury Len
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2008
Where NPL
Authors Elia Liitiäinen, Francesco Corona, Amaury Lendasse
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