Nonparametric estimation of residual variance revisited
Nonparametric estimation of residual variance revisited
Several difference-based estimators of residual variance are compared for finite sample size. Since the introduction of a rather simple estimator by Gasser, Sroka & Jennen-Steinmetz (1986) other proposals have been made. Here the one given by Hall, Kay & Titterington (1990) is of particular interest. It minimizes the asymptotic variance. …