Liitiäinen, Elia; Corona, Francesco; Lendasse, Amaury - In: Journal of Multivariate Analysis 101 (2010) 4, pp. 811-823
In this paper we consider the problem of estimating E[(Y-E[Y|X])2] based on a finite sample of independent, but not necessarily identically distributed, random variables . We analyze the theoretical properties of a recently developed estimator. It is shown that the estimator has many...