On conditional variance estimation in nonparametric regression

DOI10.1007/S11222-011-9307-3MaRDI QIDQ746272zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib, Edward Greenberg

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9307-3

zbMATH Keywords

conditional variance functionscubic splinesheteroscedastic errorsnonparametric regressionsemiparametric regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

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Cites work

• Additive cubic spline regression with Dirichlet process mixture errors
• All of Nonparametric Statistics
• Bayesian modelling strategies for spatially varying regression coefficients: a multivariate perspective for multiple outcomes
• scientific article; zbMATH DE number 4060621 (Why is no real title available?)
• scientific article; zbMATH DE number 700016 (Why is no real title available?)
• scientific article; zbMATH DE number 1738333 (Why is no real title available?)
• scientific article; zbMATH DE number 795289 (Why is no real title available?)
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Marginal Likelihood from the Gibbs Output
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Semiparametric Regression
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(12)

• Conditional variance estimation via nonparametric generalized additive models
• Bayesian regression with nonparametric heteroskedasticity
• Nonparametric multiplicative heteroscedasticity in multi-dimensional regression
• Estimating the conditional error distribution in non-parametric regression
• A Computational Bayesian Method for Generalized Semiparametric Regression Models
• On variance estimation in nonparametric regression
• Estimating the conditional variance ofY, givenX, in a simple regression model
• Efficient estimation of conditional variance functions in stochastic regression
• A Non‐parametric Conditional Bivariate Reference Region with an Application to Height/Weight Measurements on Normal Girls
• On the estimation of a monotone conditional variance in nonparametric regression
• Conditional least squares estimation in nonstationary nonlinear stochastic regression models
• Conditional variance estimation in heteroscedastic regression models

Describes a project that uses

Uses Software

• SemiPar

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