A wavelet-based hybrid approach to estimate variance function in heteroscedastic regression models

DOI10.1007/S00362-014-0614-6MaRDI QIDQ2516632zbMATHOpenAlexFDO

Authors T. Palanisamy, J. Ravichandran

Publication date 3 August 2015

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-014-0614-6

zbMATH Keywords

heteroscedasticitywavelet thresholdingovercomplete dictionarynonparametric heteroscedastic fixed design regression modelbasic pursuit

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

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Cites work

• scientific article; zbMATH DE number 802852 (Why is no real title available?)
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• An Introduction to Wavelets Through Linear Algebra
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Atomic decomposition by basis pursuit
• Estimation of heteroscedasticity in regression analysis
• Estimation of the Variance Function in Heteroscedastic Linear Regression Models
• Estimation of variance function in heteroscedastic regression models by generalized coiflets
• Ideal spatial adaptation by wavelet shrinkage
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Matching pursuits with time-frequency dictionaries
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• On the uniqueness of overcomplete dictionaries, and a practical way to retrieve them
• Signal-to-Noise Ratios, Performance Criteria, and Transformations
• Statistical Analysis of a Telephone Call Center
• Ten Lectures on Wavelets
• Uncertainty principles and ideal atomic decomposition
• Variance estimation in nonparametric regression via the difference sequence method
• Wavelet methods in statistics: some recent developments and their applications
• Wavelet thresholding for non-necessarily Gaussian noise: idealism

Cited in

(7)

• Smoothing the difference-based estimates of variance using variational mode decomposition
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• Minimax wavelet estimation for multisample heteroscedastic nonparametric regression
• Two-stage variational mode decomposition approach to enhance the estimates of variance function
• Estimation of variance function in heteroscedastic regression models by generalized coiflets
• Variance estimation in heteroscedastic models by undecimated Haar transform
• Data-driven wavelet-Fisz methodology for nonparametric function estimation

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