relation: https://publications.ut-capitole.fr/id/eprint/44148/
title: An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression
creator: Lavergne, Pascal
creator: Vuong, Quang H.
subject: B- ECONOMIE ET FINANCE
description: 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.
publisher: Taylor & Francis
date: 1998
type: Article
type: PeerReviewed
identifier:   Lavergne, Pascal <https://www.idref.fr/177855533> and Vuong, Quang H. <https://www.idref.fr/177855363>  (1998) An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression.    Journal of Nonparametric Statistics, 9 (4).  pp. 363-380.       
relation: http://tse-fr.eu/pub/126319
relation: 10.1080/10485259808832750
identifier: 10.1080/10485259808832750
doi: 10.1080/10485259808832750
language: en