Abstract
Consider a heteroscedastic regression model Y = m(X) + σ(X)ε, where the functions m and σ are "smooth", and ε is independent of X. An estimator of the distribution of ε based on non-parametric regression residuals is proposed and its weak convergence is obtained. Applications to prediction intervals and goodness-of-fit tests are discussed.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 549-567 |
| Number of pages | 19 |
| Journal | Scandinavian Journal of Statistics |
| Volume | 28 |
| Issue number | 3 |
| DOIs | |
| State | Published - Sep 2001 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
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