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Activity Number:
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447
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Type:
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Contributed
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Date/Time:
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Wednesday, August 6, 2008 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #301102 |
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Title:
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Spline Confidence Bands for Variance Function via Oracle Efficient Estimation
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Author(s):
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Qiongxia Song*+ and Lijian Yang
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Companies:
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Michigan State University and Michigan State University
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Address:
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Dept. Statistics, East Lansing, MI, 48824,
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Keywords:
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B spline ; heteroscedasticity ; knots ; nonparametric regression ; oracle efficiency ; variance function
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Abstract:
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Asymptotically exact and conservative confidence bands are obtained for possibly heteroscedastic variance function, using piecewise constant and piecewise linear spline estimation, respectively. The variance estimation possesses oracle efficiency and the widths of the confidence bands are of optimal order. Simulation experiments provide strong evidence that corroborates the asymptotic theory while the computing is extremely fast. As illustration of the applicability of the methods, the linear spline band has been applied to test for heteroscedasticity in a fossil data and in the motorcycle data.
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