Local Polynomial Variance-Function Estimation

DOI10.2307/1271131zbMATH Open0891.62029OpenAlexW3123115077MaRDI QIDQ4355446FDOQ4355446

Authors: David Ruppert, Ulla Holst, Ola G. Hössjer, M. P. Wand 

Publication date: 25 June 1998

Full work available at URL: https://hdl.handle.net/1813/9014

Recommendations

• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Estimation of heteroscedasticity in regression analysis
• Adaptive nonparametric regression with conditional heteroskedasticity
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• scientific article; zbMATH DE number 802852

zbMATH Keywords

heteroscedasticitynonparametric regressionkernel smoothingconditional variance functionbandwidth selectorspolynomial smootherssmoother matrix

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics (62P99)

Cited In (78)

• Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
• Nonparametric estimation of a log-variance function in scale-space
• Simultaneous fitting of Bayesian penalised quantile splines
• Single-index composite quantile regression with heteroscedasticity and general error distributions
• Nonparametric variance function estimation with missing data
• Modeling epigenetic modifications under multiple treatment conditions
• Smoothing and preservation of irregularities using local linear fitting.
• Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
• Title not available (Why is that?)
• Variance estimation for high-dimensional regression models
• Model-based non-parametric variance estimation for systematic sampling
• Spline confidence bands for variance functions
• Generalized profiling estimation for global and adaptive penalized spline smoothing
• Assessing the Adequacy of Variance Function in Heteroscedastic Regression Models
• A semi-parametric approach to dual modeling when no replication exists
• Difference-based ridge estimator of parameters in partial linear model
• Modelling conditional variance function in industrial data: a case study
• Estimation of the Variance Function in Heteroscedastic Linear Regression Models
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Local \(M\)-estimation for conditional variance function with dependent data
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• Partitioning estimation of local variance based on nearest neighbors under censoring
• Optimal estimation of variance in nonparametric regression with random design
• Doubly penalized likelihood estimator in heteroscedastic regression
• Residual variance estimation using a nearest neighbor statistic
• Local polynomial estimation of nonparametric general estimating equations
• Nonparametric quasi-likelihood
• Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise
• On the estimation of a monotone conditional variance in nonparametric regression
• Composite quantile regression for single-index models with asymmetric errors
• Nonparametric estimation of genewise variance for microarray data
• A nonparametric approach to measuring the sensitivity of an asset's return to the market
• On a robust local estimator for the scale function in heteroscedastic nonparametric regression
• Nonparametric estimation of mean and dispersion functions in extended generalized linear models
• Empirical likelihood based inference for the derivative of the nonparametric regression function
• Testing for a constant coefficient of variation in nonparametric regression by empirical processes
• Bootstrap confidence bands for regression curves and their derivatives
• Asymptotic approximation of nonparametric regression experiments with unknown variances
• Variance function estimation in multivariate nonparametric regression with fixed design
• Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach
• ROC curve and covariates: extending induced methodology to the non-parametric framework
• Adaptive drift estimation for nonparametric diffusion model.
• Regression function and noise variance tracking methods for data streams with concept drift
• On polynomial variance functions
• Model checks for nonparametric regression with missing data: a comparative study
• Testing the capital asset pricing model with local maximum likelihood methods
• Model checks for parametric regression models
• Nonparametric comparison of regression curves by local linear fitting.
• Title not available (Why is that?)
• Profiling heteroscedasticity in linear regression models
• Kriging with Nonparametric Variance Function Estimation
• Ridge regression methodology in partial linear models with correlated errors
• Empirical likelihood for regression discontinuity design
• Local polynomial estimation of the mean function and its derivatives based on functional data and regular designs
• An alternative local polynomial estimator for the error-in-variables problem
• A selective overview of nonparametric methods in financial econometrics
• Weighted composite quantile regression for single-index models
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Estimation of heteroscedasticity in regression analysis
• Effect of mean on variance function estimation in nonparametric regression
• Model misspecification in parametric dual modeling
• Variance estimation in nonparametric regression via the difference sequence method
• Nonparametric estimation of the conditional variance function with correlated errors
• Error variance function estimation in nonparametric regression models
• Two-stage variational mode decomposition approach to enhance the estimates of variance function
• Conditional median absolute deviation
• Adaptive local polynomial estimations for heterogeneously variational regression functions
• Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
• A composite Bayesian approach for quantile curve fitting with non-crossing constraints
• A GRAPHICAL DIAGNOSTIC FOR VARIANCE FUNCTIONS
• Variance function estimation in regression model via aggregation procedures
• Renewable composite quantile method and algorithm for nonparametric models with streaming data
• Nonparametric regression with nonignorable missing covariates and outcomes using bounded inverse weighting
• Estimating prediction error: cross-validation vs. accumulated prediction error
• A nonparametric bootstrap method for heteroscedastic functional data
• Nonparametric conditional risk mapping under heteroscedasticity
• Estimating the conditional variance ofY, givenX, in a simple regression model
• Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model

This page was built for publication: Local Polynomial Variance-Function Estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355446)