Local M-estimation for conditional variance function with dependent data
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Local \(M\)-estimation for conditional variance function with dependent data
Local \(M\)-estimation for conditional variance function with dependent data
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 42417 (Why is no real title available?)
- scientific article; zbMATH DE number 3483405 (Why is no real title available?)
- scientific article; zbMATH DE number 3582638 (Why is no real title available?)
- scientific article; zbMATH DE number 646819 (Why is no real title available?)
- scientific article; zbMATH DE number 1034225 (Why is no real title available?)
- Adaptive \(M\)-estimation in nonparametric regression
- An Effective Bandwidth Selector for Local Least Squares Regression
- Asymptotic maximal deviation of M-smoothers
- Asymptotic normality for regression function estimate under truncation and \(\alpha \)-mixing conditions
- Conditional variance estimation in heteroscedastic regression models
- Efficient estimation of conditional variance functions in stochastic regression
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Functional nonparametric model for time series: a fractal approach for dimension reduction
- Local Polynomial Estimation of Regression Functions for Mixing Processes
- Local Polynomial Variance-Function Estimation
- Local linear M-estimation for spatial processes in fixed-design models
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Locally modelled regression and functional data
- M-estimation for autoregression with infinite variance
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Nonparametric curve estimation from time series
- Nonparametric estimation of the conditional variance function with correlated errors
- Nonparametric estimation under long memory dependence
- Nonparametric functional data analysis. Theory and practice.
- Nonparametric regression estimation under mixing conditions
- On a robust local estimator for the scale function in heteroscedastic nonparametric regression
- On semiparametric \(M\)-estimation in single-index regression
- Regression with Nonstationary Volatility
- Robust estimates in generalized partially linear models
- Robust estimation for nonparametric generalized regression
- Robust local polynomial regression for dependent data
- Robust regression function estimation
- Signal-to-Noise Ratios, Performance Criteria, and Transformations
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
- Variable bandwidth and one-step local \(M\)-estimator
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(10)- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Local Variance Estimation for Uncensored and Censored Observations
- Local M-estimation with discontinuous criterion for dependent and limited observations
- Local M-estimation for conditional variance in heteroscedastic regression models
- Noise benefits to robust M-estimation of location in dependent observations
- Robust nonparametric regression with simultaneous scale curve estimation based on dependent observations
- scientific article; zbMATH DE number 6001861 (Why is no real title available?)
- Local Estimation of the Conditional Stable Tail Dependence Function
- Robust local polynomial regression for dependent data
- Nonparametric estimation of the conditional variance function with correlated errors
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