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On a robust local estimator for the scale function in heteroscedastic nonparametric regression

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  • Boente, Graciela
  • Ruiz, Marcelo
  • Zamar, Ruben H.

Abstract

When the data used to fit an heteroscedastic nonparametric regression model are contaminated with outliers, robust estimators of the scale function are needed in order to obtain robust estimators of the regression function and to construct robust confidence bands. In this paper, local M-estimators of the scale function based on consecutive differences of the responses, for fixed designs are considered. Under mild regularity conditions, the asymptotic behavior of the local M-estimators for general weight functions is derived.

Suggested Citation

  • Boente, Graciela & Ruiz, Marcelo & Zamar, Ruben H., 2010. "On a robust local estimator for the scale function in heteroscedastic nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1185-1195, August.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:15-16:p:1185-1195
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    References listed on IDEAS

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    Cited by:

    1. Boente, Graciela & Ruiz, Marcelo & Zamar, Ruben H., 2012. "Bandwidth choice for robust nonparametric scale function estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1594-1608.

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