Semiparametric Estimation and Inference of Variance Function with Large Dimensional Covariates

DOI10.5705/SS.202017.0084zbMATH Open1427.62030OpenAlexW2779133756MaRDI QIDQ5226599FDOQ5226599

Li-Ping Zhu, Yanyuan Ma

Publication date: 1 August 2019

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/f63e6c192e943e4d3f00e8c9990de010cea57e82

zbMATH Keywords

dimension reductionsemiparametric efficiencylocation-scale familycentral mean subspacecentral variance subspace

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12)

Cited In (3)

• Dimension reduction in time series under the presence of conditional heteroscedasticity
• A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
• On Variance Estimation in Semiparametric Regression Models

This page was built for publication: Semiparametric Estimation and Inference of Variance Function with Large Dimensional Covariates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5226599)