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.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty