Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods

DOI10.1080/10485252.2013.875547MaRDI QIDQ5419463zbMATH OpenOpenAlexFDO

Authors Robert Hable, Andreas Christmann

Publication date 6 June 2014

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1830

zbMATH Keywords

heteroscedasticitynonparametric regressionregularised kernel methodsscale functionssupport vector machines

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Nonparametric robustness (62G35)

Abstract: A main goal of regression is to derive statistical conclusions on the conditional distribution of the output variable Y given the input values x. Two of the most important characteristics of a single distribution are location and scale. Support vector machines (SVMs) are well established to estimate location functions like the conditional median or the conditional mean. We investigate the estimation of scale functions by SVMs when the conditional median is unknown, too. Estimation of scale functions is important e.g. to estimate the volatility in finance. We consider the median absolute deviation (MAD) and the interquantile range (IQR) as measures of scale. Our main result shows the consistency of MAD-type SVMs.

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Cited in

(2)

• Separability of reproducing kernel spaces
• Robust nonparametric regression: a review

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