• Journal of the Korean Data and Information Science Society
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• 제22권3호
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• pp.575-587
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• 2011

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.