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Activity Number:
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107
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Type:
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Contributed
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Date/Time:
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Monday, July 30, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #308410 |
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Title:
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Effect of Mean on Variance Function Estimation in Nonparametric Regression
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Author(s):
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Lie Wang*+ and Lawrence D. Brown and Tony Cai and Michael Levine
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Companies:
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University of Pennsylvania and University of Pennsylvania and University of Pennsylvania and Purdue University
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Address:
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400 Huntsman Hall, Philadelphia, PA, 19104,
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Keywords:
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Minimax estimation ; nonparametric regression ; variance estimation
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Abstract:
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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 function on the estimation of the variance function. Our results indicate that, contrary to the common practice, it is often not desirable to base the estimator of the variance function on the residuals from an optimal estimator of the mean. Instead it is desirable to use estimators of the mean with minimal bias.
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