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.
- Nonparametric R-squared
- Residual variance
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty