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Residual variance and residual pattern in nonlinear regression. (English) Zbl 0649.62035
A nonparametric estimator of residual variance in nonlinear regression is proposed. It is based on local linear fitting. Asymptotically the estimator has a small bias, but a larger variance compared with the parametric estimator in linear regression. Finite sample properties are investigated in a simulation study, including a comparison with other nonparametric estimators. The method is also useful for spotting heteroscedasticity and outliers in the residuals at an early stage of the data analysis. A further application is checking the fit of parametric models. This is illustrated for longitudinal growth data.

MSC:
62G05 Nonparametric estimation
62J02 General nonlinear regression
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