Local M-estimation for conditional variance in heteroscedastic regression models

DOI10.1080/03610926.2012.736581zbMATH Open1311.62060OpenAlexW2047853388MaRDI QIDQ5249173FDOQ5249173

Authors: Yunyan Wang, Mingtian Tang 

Publication date: 29 April 2015

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.736581

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zbMATH Keywords

nonlinear time serieslocal linear regressionconditional variance functionlocal M-estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35)

Cites Work

• Robust regression: Asymptotics, conjectures and Monte Carlo
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Asymptotic maximal deviation of M-smoothers
• On semiparametric \(M\)-estimation in single-index regression
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Adaptive \(M\)-estimation in nonparametric regression
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Local M-estimator for nonparametric time series.
• M-estimation for autoregression with infinite variance
• Variable bandwidth and one-step local \(M\)-estimator
• Robust regression function estimation
• Conditional variance estimation in heteroscedastic regression models
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Re-weighted functional estimation of second-order diffusion processes

Cited In (5)

• Variance estimation for semiparametric regression models by local averaging
• Local \(M\)-estimation for conditional variance function with dependent data
• Conditional variance estimation in heteroscedastic regression models
• Estimating the conditional variance ofY, givenX, in a simple regression model
• Local averaging of heterogeneous regression models

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