Local Polynomial Variance-Function Estimation

DOI10.2307/1271131MaRDI QIDQ4355446zbMATHOpenAlexFDO

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

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)

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• Ridge regression methodology in partial linear models with correlated errors
• 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
• Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise
• Simultaneous fitting of Bayesian penalised quantile splines
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• An alternative local polynomial estimator for the error-in-variables problem
• Composite quantile regression for single-index models with asymmetric errors
• Testing for a constant coefficient of variation in nonparametric regression by empirical processes
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• Profiling heteroscedasticity in linear regression models
• scientific article; zbMATH DE number 1208135 (Why is no real title available?)
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• Single-index composite quantile regression with heteroscedasticity and general error distributions
• Testing the capital asset pricing model with local maximum likelihood methods
• Model checks for nonparametric regression with missing data: a comparative study
• Model-based non-parametric variance estimation for systematic sampling
• Nonparametric variance function estimation with missing data
• Modeling epigenetic modifications under multiple treatment conditions
• Nonparametric estimation of mean and dispersion functions in extended generalized linear models
• Spline confidence bands for variance functions
• Adaptive drift estimation for nonparametric diffusion model.
• 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
• Nonparametric estimation of the conditional variance function with correlated errors
• Bootstrap confidence bands for regression curves and their derivatives
• Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
• A nonparametric bootstrap method for heteroscedastic functional data
• Nonparametric conditional risk mapping under heteroscedasticity
• Nonparametric regression with nonignorable missing covariates and outcomes using bounded inverse weighting
• Two-stage variational mode decomposition approach to enhance the estimates of variance function
• Liquidity spreads in the corporate bondmarket: estimation using a semi-parametric model
• A GRAPHICAL DIAGNOSTIC FOR VARIANCE FUNCTIONS
• Conditional median absolute deviation
• A composite Bayesian approach for quantile curve fitting with non-crossing constraints
• Estimating prediction error: cross-validation vs. accumulated prediction error
• Estimating the conditional variance ofY, givenX, in a simple regression model
• Adaptive local polynomial estimations for heterogeneously variational regression functions
• Error variance function estimation in nonparametric regression models
• Variance function estimation in regression model via aggregation procedures
• Renewable composite quantile method and algorithm for nonparametric models with streaming data

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