Adaptive nonparametric regression with conditional heteroskedasticity

DOI10.1017/S0266466614000450MaRDI QIDQ3465600zbMATH OpenOpenAlexFDO

Authors Sainan Jin, Liangjun Su, Zhijie Xiao

Publication date 22 January 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000450

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Local linear regression smoothers and their minimax efficiencies
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Multivariate regression estimation: Local polynomial fitting for time series
• Non-parametric estimation of the residual distribution
• On adaptive estimation
• On adaptive estimation in stationary ARMA processes
• On local estimating equations in additive multiparameter models

Cited in

(20)

• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• On estimating the nonparametric multiplicative error models
• Adaptive Estimation of the Integral of Squared Regression Derivatives
• A nonparametric regression estimator that adapts to error distribution of unknown form
• Regression function estimation on non compact support in an heteroscesdastic model
• Adaptive estimation for varying coefficient models with nonstationary covariates
• Adaptive estimation in multivariate response regression with hidden variables
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• Nonparametric multiplicative heteroscedasticity in multi-dimensional regression
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• On conditional variance estimation in nonparametric regression
• Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
• Adaptive nonparametric regression on finite support
• An adaptive estimation for covariate-adjusted nonparametric regression model
• Nonparametric regression with adaptive truncation via a convex hierarchical penalty
• Adaptive estimation in a heteroscedastic nonparametric regression
• Adaptive regression with Brownian path covariate
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Adaptive likelihood estimator of conditional variance function

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