Adaptive likelihood estimator of conditional variance function

DOI10.1080/10485252.2015.1122189MaRDI QIDQ2811272zbMATH OpenOpenAlexFDO

Authors Panagiotis Avramidis

Publication date 10 June 2016

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2015.1122189

zbMATH Keywords

kernel smoothinglikelihood functionadaptive estimatenonparametric conditional variance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• A nonparametric regression estimator that adapts to error distribution of unknown form
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• Conditional variance estimation in heteroscedastic regression models
• Consistent nonparametric regression. Discussion
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• Generalized autoregressive conditional heteroscedasticity
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Local Maximum Likelihood Estimation and Inference
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Local linear regression smoothers and their minimax efficiencies
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Locally parametric nonparametric density estimation
• Multivariate locally weighted least squares regression
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• Nonparametric estimation of structural change points in volatility models for time series
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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Relative Efficiencies of Kernel and Local Likelihood Density Estimators
• Semiparametric estimation of Value at Risk
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Unstable volatility: the break-preserving local linear estimator

Cited in

(4)

• scientific article; zbMATH DE number 3413673 (Why is no real title available?)
• Semi- and nonparametric ARCH processes
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity

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