Cheng, B.,
Tong, Howell
(1993)
*
On residual sums of squares in nonparametric autoregression.
*
Stochastic Processes and their Applications,
48
(1).
pp. 157-174.
ISSN 0304-4149.
(The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
(KAR id:20833)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. |

## Abstract

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.

Item Type: | Article |
---|---|

Subjects: | Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics |

Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |

Depositing User: | R.F. Xu |

Date Deposited: | 05 Oct 2009 15:31 UTC |

Last Modified: | 16 Nov 2021 09:58 UTC |

Resource URI: | https://kar.kent.ac.uk/id/eprint/20833 (The current URI for this page, for reference purposes) |

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