Local \(M\)-estimation for conditional variance function with dependent data (Q289728)
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scientific article; zbMATH DE number 6587835
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local \(M\)-estimation for conditional variance function with dependent data |
scientific article; zbMATH DE number 6587835 |
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Local \(M\)-estimation for conditional variance function with dependent data (English)
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31 May 2016
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\(\alpha \)-mixing
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conditional variance function
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local \(M\)-estimator
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local linear regression
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robust estimation
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The authors are interested in the nonparametric robust estimation of the conditional variance function in heteroscedastic regression models under stationary \(\alpha\)-mixing dependent samples.NEWLINENEWLINEActually \(M\)-type estimators of the conditional variance function and its first-order derivative are developed. 11 assumptions are given in order to describe the set of necessary conditions for the asymptotic properties of the local \(M\)-estimators.NEWLINENEWLINEThe weak consistency and the asymptotic normality of the estimators are proven.NEWLINENEWLINEIt is to be noticed that a big work of bibliography is developed in the introduction and in the conclusion of this paper.
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