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http://hdl.handle.net/1942/2654
Title: | Non-parametric estimation of the residual distribution | Authors: | Akritas, Michael Georgiou VAN KEILEGOM, Ingrid |
Issue Date: | 2001 | Publisher: | BLACKWELL PUBL LTD | Source: | SCANDINAVIAN JOURNAL OF STATISTICS, 28(3). p. 549-567 | Abstract: | Consider a heteroscedastic regression model Y = m(X) + sigma (X)epsilon, where the functions m and sigma are "smooth", and epsilon is independent of X. An estimator of the distribution of epsilon 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. | Notes: | Limburgs Univ Ctr, Diepenbeek, Belgium. Penn State Univ, University Pk, PA 16802 USA.Van Keilegom, I, Univ Catholique Louvain, Inst Stat, Voie du Roman Pays 20, B-1348 Louvain, Belgium. | Keywords: | asymptotic representation; goodness-of-fit; non-parametric regression residuals; prediction intervals; residual distribution; weak convergence | Document URI: | http://hdl.handle.net/1942/2654 | ISSN: | 0303-6898 | e-ISSN: | 1467-9469 | DOI: | 10.1111/1467-9469.00254 | ISI #: | 000170679000010 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2002 |
Appears in Collections: | Research publications |
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