On Nonparametric Residual Variance Estimation
In this paper, the problem of residual variance estimation is examined. The problem is analyzed in a general setting which covers non-additive heteroscedastic noise under non-iid sampling. To address the estimation problem, we suggest a method based on nearest neighbor graphs and we discuss its convergence properties under the assumption of a Hölder continuous regression function. The universality of the estimator makes it an ideal tool in problems with only little prior knowledge available.