Local M-estimation for conditional variance in heteroscedastic regression models

DOI10.1080/03610926.2012.736581MaRDI QIDQ5249173zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

conditional variance functionlocal linear regressionlocal M-estimatornonlinear time series

Mathematics Subject Classification ID

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

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Cites work

• Adaptive \(M\)-estimation in nonparametric regression
• Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
• Asymptotic maximal deviation of M-smoothers
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional variance estimation in heteroscedastic regression models
• Efficient estimation of conditional variance functions in stochastic regression
• Fully Nonparametric Estimation of Scalar Diffusion Models
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Local M-estimator for nonparametric time series.
• M-estimation for autoregression with infinite variance
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• On semiparametric \(M\)-estimation in single-index regression
• Re-weighted functional estimation of second-order diffusion processes
• Robust regression function estimation
• Robust regression: Asymptotics, conjectures and Monte Carlo
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Variable bandwidth and one-step local \(M\)-estimator

Cited in

(7)

• Variance estimation for semiparametric regression models by local averaging
• Local \(M\)-estimation for conditional variance function with dependent data
• Estimating the conditional variance ofY, givenX, in a simple regression model
• Local averaging of heterogeneous regression models
• Universal kernel-type estimators for conditional variance in heteroscedastic models of nonparametric regression
• Approximation of smooth multivariate regression functions by universal kernel estimators
• Conditional variance estimation in heteroscedastic regression models

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