Research Article
A Least Squares Method for Variance Estimation in Heteroscedastic Nonparametric Regression
Table 1
The relative MSEs of
,
, and
for scenario (i) under various simulation settings.
| | | | | | |
| 30 | 0.5 | | 8.592259 | 8.588712 | 8.971043 | | 9.105655 | 9.109716 | 9.59135 | | 27.52861 | 27.93159 | 29.50932 | 2 | | 8.568082 | 8.564596 | 8.922776 | | 8.577039 | 8.57355 | 8.937509 | | 8.655637 | 8.653321 | 9.055993 |
| 100 | 0.5 | | 24.68565 | 24.67358 | 25.16409 | | 24.63531 | 24.63209 | 25.13371 | | 25.1026 | 25.10747 | 25.67267 | 2 | | 24.64412 | 24.63515 | 25.1233 | | 24.62441 | 24.61774 | 25.1069 | | 24.62372 | 24.61822 | 25.11145 |
| 500 | 0.5 | | 47.85348 | 47.85206 | 48.00883 | | 47.86474 | 47.8618 | 48.01908 | | 47.88284 | 47.87881 | 48.03735 | 2 | | 47.85314 | 47.85136 | 48.00809 | | 47.85561 | 47.85345 | 48.01027 | | 47.85829 | 47.85587 | 48.01283 |
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