Local M-estimation for conditional variance in heteroscedastic regression models
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Cites work
- Adaptive \(M\)-estimation in nonparametric regression
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Asymptotic maximal deviation of M-smoothers
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional variance estimation in heteroscedastic regression models
- Efficient estimation of conditional variance functions in stochastic regression
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Local M-estimator for nonparametric time series.
- M-estimation for autoregression with infinite variance
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- On semiparametric \(M\)-estimation in single-index regression
- Re-weighted functional estimation of second-order diffusion processes
- Robust regression function estimation
- Robust regression: Asymptotics, conjectures and Monte Carlo
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Variable bandwidth and one-step local \(M\)-estimator
Cited in
(7)- Variance estimation for semiparametric regression models by local averaging
- Local \(M\)-estimation for conditional variance function with dependent data
- Estimating the conditional variance ofY, givenX, in a simple regression model
- Local averaging of heterogeneous regression models
- Universal kernel-type estimators for conditional variance in heteroscedastic models of nonparametric regression
- Approximation of smooth multivariate regression functions by universal kernel estimators
- Conditional variance estimation in heteroscedastic regression models
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