Local $M$-estimation for conditional variance function with dependent data
نویسندگان
چکیده
منابع مشابه
Local Polynomial Variance Function Estimation
The conditional variance function in a heteroscedastic, nonparametric regression model is estimated by linear smoothing of squared residuals. Attention is focussed on local polynomial smoothers. Both the mean and variance functions are assumed to be smooth, but neither is assumed to be in a parametric family. The eeect of preliminary estimation of the mean is studied, and a \degrees of freedom"...
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ژورنال
عنوان ژورنال: Rocky Mountain Journal of Mathematics
سال: 2016
ISSN: 0035-7596
DOI: 10.1216/rmj-2016-46-1-333