An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression

Pascal Lavergne, Quang H. Vuong

    Research output: Contribution to journalArticle

    Abstract

    We propose a new estimator of unconditional residual variance in nonparametric regression based on the integral of squared residuals. We show its consistency in L1 under general conditions and derive a nonparametric decomposition of the variance formula. Monte-Carlo experiments suggest that the estimator has good small sample properties.

    Original languageEnglish (US)
    Pages (from-to)363-380
    Number of pages18
    JournalJournal of Nonparametric Statistics
    Volume9
    Issue number4
    DOIs
    StatePublished - 1998

    Keywords

    • Nonparametric R-squared
    • Residual variance

    ASJC Scopus subject areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

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