Local M-estimation for conditional variance function with dependent data

DOI10.1216/RMJ-2016-46-1-333zbMATH Open1338.62155OpenAlexW2397468128MaRDI QIDQ289728FDOQ289728

Yunyan Wang, Mingtian Tang

Publication date: 31 May 2016

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rmjm/1464035867

Recommendations

• Local M-estimation for conditional variance in heteroscedastic regression models
• M-estimation in nonparametric regression under strong dependence and infinite variance
• Nonparametric estimation of the conditional variance function with correlated errors
• Robust local polynomial regression for dependent data
• LocalL-estimators for nonparametric regression under dependence

zbMATH Keywords

local linear regressionrobust estimation\(\alpha \)-mixingconditional variance functionlocal \(M\)-estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Cites Work

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Cited In (6)

• Local Variance Estimation for Uncensored and Censored Observations
• Noise benefits to robust M-estimation of location in dependent observations
• Title not available (Why is that?)
• 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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