Effect of mean on variance function estimation in nonparametric regression

Details Effect of mean on variance function estimation in nonparametric regression Effect of mean on variance function estimation in nonparametric regression

2008-04-04

arxiv.org/abs/0804.0709v1

Annals of Statistics 2008, Vol. 36, No. 2, 646-664

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053607000000901 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053607000000901

Variance function estimation in nonparametric regression is considered and the minimax rate of convergence is derived. We are particularly interested in the effect of the unknown mean on the estimation of the variance function. Our results indicate that, contrary to the common practice, it is not desirable to base the estimator of the variance function on the residuals from an optimal estimator of the mean when the mean function is not smooth. Instead it is more desirable to use estimators of the mean with minimal bias. On the other hand, when the mean function is very smooth, our numerical results show that the residual-based method performs better, but not substantial better than the first-order-difference-based estimator. In addition our asymptotic results also correct the optimal rate claimed in Hall and Carroll [J. Roy. Statist. Soc. Ser. B 51 (1989) 3--14].

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