- Volume 22 Issue 6
Tong and Wang's estimator (2005) is a new approach to estimate the error variance using least squares method such that a simple linear regression is asymptotically derived from Rice's lag- estimator (1984). Their estimator highly depends on the setting of a regressor and weights in small sample sizes. In this article, we propose a new approach via a local quadratic approximation to set regressors in a small sample case. We estimate the error variance as the intercept using a ridge regression because the regressors have the problem of multicollinearity. From the small simulation study, the performance of our approach with some existing methods is better in small sample cases and comparable in large cases. More research is required on unequally spaced points.
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- Park, C. G. (2009). An estimator of the mean of the squared functions for a nonparametric regression. Journal of the Korean Data & Information Science Society, 20, 577-585.
- Park, C. G. (2011). On statistical properties of some difference-based error variance estimators in nonpara- metric regression with a nite sample. Journal of the Korean Data & Information Science Society, 22, 575-587.
- Rice, J. A. (1984). Bandwidth choice for nonparametric regression. Annals of statistics, 12, 1215-1220. https://doi.org/10.1214/aos/1176346788
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