Non-parametric Estimation of the Residual Distribution

Akritas, Michael G.;Van Keilegom, Ingrid
(2001) Scandinavian Journal of Statistics : theory and applications — Vol. 28, n° 3, p. 549-567 (2001)

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Authors
  • Akritas, Michael G.Penn State University
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  • Van Keilegom, IngridLimburgs Universitair Centrum
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Abstract
Consider a heteroscedastic regression model Y=m(X) +σ(X)ε, where the functions m and σ are “smooth”, and ε is independent of X. An estimator of the distribution of ε 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.
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Akritas, M. G., & Van Keilegom, I. (2001). Non-parametric Estimation of the Residual Distribution. Scandinavian Journal of Statistics : theory and applications, 28(3), 549-567. https://doi.org/10.1111/1467-9469.00254 (Original work published 2001)