Conditional Mean and Variance Estimation via \textit{k}-NN Algorithm with Automated Variance Selection

arXiv — stat.MLTuesday, October 28, 2025 at 4:00:00 AM
A new k-nearest neighbor (k-NN) regression method has been introduced that enhances the estimation of both conditional mean and variance. This innovative approach not only maintains the efficiency and learning capabilities of traditional k-NN models but also incorporates a data-driven variable selection step, leading to improved performance. This advancement is significant as it can provide more accurate statistical insights, which are crucial for various applications in data science and analytics.
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