Fitting a Multiple Regression Function.
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
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A statistical problem which finds a wide range of applications is the estimation of a regression function. In this document an estimate is proposed when there are at least two independent regressors. This is not a direct generalization of the Priestley-Chao estimate. Also presented is a consistent estimate for the error variance. With the aid of the variance estimate, an asymptotic confidence interval can be constructed.
- Statistics and Probability