Heteroscedasticity detection and estimation with quantile difference method

DOI10.1007/S11424-015-3161-XzbMATH Open1348.62149OpenAlexW1954674474MaRDI QIDQ328092FDOQ328092

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

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zbMATH Keywords

heteroscedastic function estimationheteroscedasticity testingmean regression functionquantile difference

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

Cites Work

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• Distribution of the Ratio of the Mean Square Successive Difference to the Variance
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• Title not available (Why is that?)
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• Quantile inference for heteroscedastic regression models

Cited In (2)

• On simultaneously identifying outliers and heteroscedasticity without specific form
• Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition

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