Residual variance estimation using a nearest neighbor statistic
Elia Liitiainen, Francesco Corona and Amaury Lendasse
JOURNAL OF MULTIVARIATE ANALYSIS
In this paper we consider the problem of estimating E[(Y - E[Y | X])(2)] based on a finite sample of independent, but not necessarily identically distributed, random variables (X-i, Y-i)(i=1)(M), We analyze the theoretical properties of a recently developed estimator. It is shown that the estimator has many theoretically interesting properties, while the practical implementation is simple.