Please use this identifier to cite or link to this item:
Spokoiny, Vladimir G.
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 1999,86
The paper is concerned with the problem of variance estimation for a high-dimensional regression model. The results show that the accuracy n -1/2 of variance estimation can be achieved only under some restrictions on smoothness properties of the regression function and on the dimensionality of the model. In particular, for a two times differentiable regression function, the rate n-1/2 is achievable only for dimensionality smaller or equal to 8. For higher dimensional model, the optimal accuracy is n-4jd which is worse than n-1/2 . The rate optimal estimating procedure is presented.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
300.53 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.