Modal volatility function
The authors propose a non-parametric estimator for the volatility function within a broad context that encompasses nonlinear time series models as a special case. Also, they present a new and interesting result that the asymptotic properties of the proposed modal volatility estimator for stationary \(\alpha\)-mixing dependent samples are equivalent to those for independent samples under certain mild conditions. This equivalence is inherent in non-parametric estimation for dependent samples, as discussed in [\textit{Z. Cai} and \textit{E. Ould-Saïd}, Stat. Probab. Lett. 65, No. 4, 433--449 (2003; Zbl 1116.62390)]. A similar conclusion was reached by \textit{P. Hall} et al. [Ann. Stat. 23, No. 6, 2241--2263 (1995; Zbl 0854.62039)] in the context of density estimation. Additionally, they propose a data-based bandwidth selection method to assist in the practical determination of bandwidths.
- A new regression model: modal linear regression
- A nonparametric statistical approach to clustering via mode identification
- A note on EM algorithm for mixture models
- A Statistical Learning Approach to Modal Regression
- ANCOVA Methods for Heteroscedastic Nonparametric Regression Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional variance estimation in heteroscedastic regression models
- Dynamic Vector Mode Regression
- Efficient estimation of conditional variance functions in stochastic regression
- Handbook of Volatility Models and Their Applications
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3980241 (Why is no real title available?)
- scientific article; zbMATH DE number 646833 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Local M-estimator for nonparametric time series.
- Modal regression using kernel density estimation: a review
- Mode regression
- Nonlinear modal regression for dependent data with application for predicting COVID-19
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Nonparametric modal regression
- Nonparametric modal regression in the presence of measurement error
- Nonparametric statistical learning based on modal regression
- On bandwidth choice for density estimation with dependent data
- On bias reduction in local linear smoothing
- Parametric modal regression with autocorrelated error process
- Quadratic mode regression
- Qualitative threshold ARCH models
- Quantile regression approach to conditional mode estimation
- Reducing variance in univariate smoothing
- Regression towards the mode
- Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
- Semiparametric Estimator of Time Series Conditional Variance
- Semiparametric partially linear varying coefficient modal regression
- Semi‐linear mode regression
- The Stationary Bootstrap
- Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
- Variance Reduction in Multiparameter Likelihood Models
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