非参数回归中残差方差估计的图形方法

A Graphical Method for Estimating the Residual Variance in Nonparametric Regression

Biometrika · 1989
被引 2
ABS 4

中文导读

提出一种图形方法,帮助判断残差方差估计中的偏差是否较小,并基于加权平方和与差分商给出实用的方差估计方法。

Abstract

If one wishes to make inferences about a regression, then an accurate estimator of the residual variance is required. However, except in the simplest cases, all estimators of variance are biased by an amount which depends on the unknown regression. Here, a graphical procedure is proposed which indicates whether the bias in a particular estimate is small. This procedure is studied in some detail for estimators which are weighted sums of squares of divided differences of the data and leads to a practical method of variance estimation.

非参数回归残差方差估计图形方法计量经济学