Heteroscedasticity detection and estimation with quantile difference method

DOI10.1007/S11424-015-3161-XMaRDI QIDQ328092zbMATHOpenAlexFDO

Authors Wentao Xia, Wei Xiong, Maozai Tian

Publication date 20 October 2016

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-015-3161-x

zbMATH Keywords

heteroscedastic function estimationheteroscedasticity testingmean regression functionquantile difference

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

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Cites work

• scientific article; zbMATH DE number 472928 (Why is no real title available?)
• scientific article; zbMATH DE number 3108841 (Why is no real title available?)
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• Variance Function Estimation

Cited in

(3)

• Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
• On simultaneously identifying outliers and heteroscedasticity without specific form
• Scale-parameter estimation and heteroscedasticity detection based on minimizing the composite quantile loss

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