varNPreg | R Documentation |
Estimates the error variance \sigma^2
nonparametrically in the model
Y_i = m(x_i) + E_i,
where
E_i \sim (0,\sigma^2)
, i.i.d.
Computes leave-one-out residuals (local linear approximation followed by reweighting) and their variance.
varNPreg(x, y)
x |
abscissae values, ordered increasingly. |
y |
observations at |
A list with components
res |
numeric; residuals at |
snr |
explained variance of the true curve |
sigma2 |
estimation of residual variance, |
This is an R interface to the resest
Fortran subroutine, used
in lokerns
and glkerns
, see the latter's help
page for references and context.
Earlier version of the lokern package accidentally contained
varest()
which has been an identical copy of varNPreg()
.
Martin Maechler
lokerns
, glkerns
.
x <- sort(runif(100))
y <- sin(pi*x) + rnorm(100)/10
str(ve <- varNPreg(x,y))
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