Cheng, B. and Tong, H.W (1993) On residual sums of squares in nonparametric autoregression. Stochastic Processes and Their Applications, 48 (1). pp. 157-174. ISSN 0304-4149.
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By relying on the theory of U-statistics of dependent data, we have given a detailed analysis of the residual sum of squares, RSS, after fitting a nonlinear autoregression using the kernel method. The asymptotic bias of the RSS as an estimator of the noise variance is evaluated up to and including the first order term. A similar quantity, the cross validated residual sum of squares obtained by 'leaving one out' in the fitting is similarly analysed. An asymptotic positive bias is obtained.
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science|
|Depositing User:||R.F. Xu|
|Date Deposited:||05 Oct 2009 15:31|
|Last Modified:||05 Oct 2009 15:31|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/20833 (The current URI for this page, for reference purposes)|
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