varest {lokern}R Documentation

Nonparametric Variance Estimator

Description

Estimates the error variance σ^2 nonparametrically in the model

Y_i = m(x_i) + E_i,

where E_i ~ N(0,sigma^2), using leave-one-out residuals.

Usage

varest(x, y)

Arguments

x abscissae values, ordered increasingly.
y observations at y[i] at x[i].

Value

A list with components

res numeric; residuals at x[] of length n.
snr explained variance of the true curve
sigma2 estimation of residual variance, sigma^2.

Note

This is an R interface to the resest Fortran subroutine, used in lokerns and glkerns, see their help pages for references and context.

Author(s)

Martin Maechler

See Also

lokerns, glkerns.

Examples

 x <- sort(runif(100))
 y <- sin(pi*x) + rnorm(100)/10
 str(ve <- varest(x,y))

[Package lokern version 1.0-4 Index]