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9

NPL
2008

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On Nonparametric Residual Variance Estimation

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On Nonparametric Residual Variance Estimation

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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

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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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