Conditional variance estimation in heteroscedastic regression models
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3973951 (Why is no real title available?)
- scientific article; zbMATH DE number 1515417 (Why is no real title available?)
- An Effective Bandwidth Selector for Local Least Squares Regression
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Efficient estimation of conditional variance functions in stochastic regression
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Least absolute deviations estimation for ARCH and GARCH models
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Reducing variance in univariate smoothing
- Stable Paretian models in finance
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
Cited in
(32)- A new nonparametric estimation method of the variance in a heteroscedastic model
- Semiparametric GEE analysis in partially linear single-index models for longitudinal data
- Combining the virtues of stochastic frontier and data envelopment analysis
- Heteroscedastic modelling via the autoregressive conditional variance subspace
- Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
- Conditional mean estimation under asymmetric and heteroscedastic error by linear combination of quantile regressions
- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Partial linear regression of compositional data
- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- Conditional variance estimation via nonparametric generalized additive models
- Local M-estimation for conditional variance in heteroscedastic regression models
- Bayesian bandwidth estimation and semi-metric selection for a functional partial linear model with unknown error density
- Estimation of the Variance Function in Heteroscedastic Linear Regression Models
- Local \(M\)-estimation for conditional variance function with dependent data
- A new method of estimating the variance in heteroscedastic model
- Nonparametric multiplicative heteroscedasticity in multi-dimensional regression
- Empirical likelihood for semiparametric varying-coefficient heteroscedastic partially linear errors-in-variables models
- Doubly penalized likelihood estimator in heteroscedastic regression
- On the estimation of a monotone conditional variance in nonparametric regression
- scientific article; zbMATH DE number 3994802 (Why is no real title available?)
- On conditional variance estimation in nonparametric regression
- Efficient estimation of conditional variance functions in stochastic regression
- Tuning parameter selection for nonparametric derivative estimation in random design
- Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
- Quantile inference for heteroscedastic regression models
- Local linear regression on manifolds and its geometric interpretation
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- Minimum distance conditional variance function checking in heteroscedastic regression models
- On a multivariate conditional heteroscedastic model
- Estimating the conditional variance ofY, givenX, in a simple regression model
- Adaptive likelihood estimator of conditional variance function
- Estimation of the volume under a ROC surface in presence of covariates
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