Bandwidth choice for robust nonparametric scale function estimation

DOI10.1016/J.CSDA.2011.10.002zbMath1243.62050OpenAlexW1987112863MaRDI QIDQ434929

Marcelo Ruiz, Graciela Boente, Ruben H. Zamar

Publication date: 16 July 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.10.002

zbMATH Keywords

heteroscedasticitycross-validationnonparametric regressionrobust estimationdata-driven bandwidthlocal \(M\)-estimators

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Monte Carlo methods (65C05)

Related Items (4)

Bandwidth choice for robust nonparametric scale function estimation ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods ⋮ Special issue on robust analysis of complex data

Uses Software

• robustbase

Cites Work

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