Local Polynomial Variance-Function Estimation
From MaRDI portal
Publication:4355446
DOI10.2307/1271131zbMath0891.62029OpenAlexW3123115077MaRDI QIDQ4355446
Ulla Holst, David Ruppert, Ola G. Hössjer, Matthew P. Wand
Publication date: 25 June 1998
Full work available at URL: https://hdl.handle.net/1813/9014
kernel smoothingheteroscedasticitynonparametric regressionconditional variance functionbandwidth selectorspolynomial smootherssmoother matrix
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics (62P99)
Related Items
Weighted composite quantile regression for single-index models, Local \(M\)-estimation for conditional variance function with dependent data, Smoothing and preservation of irregularities using local linear fitting., A nonparametric approach to measuring the sensitivity of an asset's return to the market, A selective overview of nonparametric methods in financial econometrics, Model-Based Non-parametric Variance Estimation for Systematic Sampling, Spline confidence bands for variance functions, Error variance function estimation in nonparametric regression models, Nonparametric estimation of genewise variance for microarray data, Testing for a constant coefficient of variation in nonparametric regression by empirical processes, Nonparametric estimation of a log-variance function in scale-space, Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates, Nonparametric estimation of mean and dispersion functions in extended generalized linear models, Nonparametric regression with nonignorable missing covariates and outcomes using bounded inverse weighting, Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise, Variance function estimation in regression model via aggregation procedures, Unnamed Item, Two-stage variational mode decomposition approach to enhance the estimates of variance function, Effect of mean on variance function estimation in nonparametric regression, Model checks for parametric regression models, Renewable composite quantile method and algorithm for nonparametric models with streaming data, Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data, Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model, Difference-based ridge estimator of parameters in partial linear model, Unnamed Item, Bootstrap confidence bands for regression curves and their derivatives, Simultaneous fitting of Bayesian penalised quantile splines, Asymptotic approximation of nonparametric regression experiments with unknown variances, Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors, Variance estimation in nonparametric regression via the difference sequence method, Testing the capital asset pricing model with local maximum likelihood methods, Adaptive variance function estimation in heteroscedastic nonparametric regression, Ridge regression methodology in partial linear models with correlated errors, Variance function estimation in multivariate nonparametric regression with fixed design, Optimal estimation of variance in nonparametric regression with random design, Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach, Generalized profiling estimation for global and adaptive penalized spline smoothing, Nonparametric variance function estimation with missing data, Modeling epigenetic modifications under multiple treatment conditions, Estimating Prediction Error: Cross-Validation vs. Accumulated Prediction Error, ROC curve and covariates: extending induced methodology to the non-parametric framework, Variance estimation for high-dimensional regression models, Kriging with Nonparametric Variance Function Estimation, Doubly penalized likelihood estimator in heteroscedastic regression, Residual variance estimation using a nearest neighbor statistic, Estimating the conditional variance ofY, givenX, in a simple regression model, Profiling heteroscedasticity in linear regression models, Empirical likelihood based inference for the derivative of the nonparametric regression function, Modelling conditional variance function in industrial data: a case study, On a robust local estimator for the scale function in heteroscedastic nonparametric regression, A semi-parametric approach to dual modeling when no replication exists, Partitioning estimation of local variance based on nearest neighbors under censoring, A GRAPHICAL DIAGNOSTIC FOR VARIANCE FUNCTIONS, Assessing the Adequacy of Variance Function in Heteroscedastic Regression Models, On the estimation of a monotone conditional variance in nonparametric regression, Regression function and noise variance tracking methods for data streams with concept drift, Composite quantile regression for single-index models with asymmetric errors, Nonparametric quasi-likelihood, Estimation of the Variance Function in Heteroscedastic Linear Regression Models, Conditional median absolute deviation, Model checks for nonparametric regression with missing data: a comparative study, Local Estimation in AR Models with Nonparametric ARCH Errors, Nonparametric estimation of the conditional variance function with correlated errors, Adaptive drift estimation for nonparametric diffusion model., Empirical likelihood for regression discontinuity design, Model misspecification in parametric dual modeling, Single-index composite quantile regression with heteroscedasticity and general error distributions, Nonparametric comparison of regression curves by local linear fitting.
