Do not weight for heteroscedasticity in nonparametric regression

Jones, M. C. (1993). Do not weight for heteroscedasticity in nonparametric regression. Australian Journal of Statistics, 35(1) pp. 89–92.

DOI: https://doi.org/10.1111/j.1467-842X.1993.tb01315.x

Abstract

The potential role of weighting in kernel regression is examined. The concept that weighting has something to do with heteroscedastic errors is shown to be false. However, weighting does affect bias, and ways in which this might be exploited are indicated.

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