Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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On statistical properties of some dierence-based error variance estimators in nonparametric regression with a finite sample

  • Received : 2011.02.09
  • Accepted : 2011.04.28
  • Published : 2011.05.31
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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

References

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