On the estimation of a monotone conditional variance in nonparametric regression

DOI10.1007/S10463-007-0126-4MaRDI QIDQ734411zbMATH OpenOpenAlexFDO

Authors Holger Dette, Kay F. Pilz

Publication date 13 October 2009

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/4913

zbMATH Keywords

heteroscedasticitynonparametric regressionmonotonicityorder restricted inferencevariance function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Recommendations

• A simple nonparametric estimator of a strictly monotone regression function
• On conditional variance estimation in nonparametric regression
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• On variance estimation in nonparametric regression
• Conditional variance estimation in heteroscedastic regression models

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 4100415 (Why is no real title available?)
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• A central limit theorem for \(m\)-dependent random variables
• A simple nonparametric estimator of a strictly monotone regression function
• Adapting for heteroscedasticity in linear models
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Bandwidth choice for nonparametric regression
• Designs for Regression Problems with Correlated Errors III
• Efficient estimation of conditional variance functions in stochastic regression
• Estimating a smooth monotone regression function
• Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
• Estimation of heteroscedasticity in regression analysis
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Local Polynomial Variance-Function Estimation
• Maximum Likelihood Estimates of Monotone Parameters
• Monotone nonparametric regression
• Non-parametric estimation of the residual distribution
• Nonparametric kernel regression subject to monotonicity constraints
• On variance estimation in nonparametric regression
• On variance function estimation with quadratic forms
• Residual variance and residual pattern in nonlinear regression
• Signal-to-Noise Ratios, Performance Criteria, and Transformations
• Testing Heteroscedasticity In Nonparametric Regression
• Weak and strong uniform consistency of kernel regression estimates

Cited in

(12)

• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Bootstrap estimation of the variance of the error term in monotonic regression models
• A note on uniform consistency of monotone function estimators
• Monotonicity-constrained nonparametric estimation and inference for first-price auctions
• Testing for a constant coefficient of variation in nonparametric regression by empirical processes
• On conditional variance estimation in nonparametric regression
• scientific article; zbMATH DE number 67478 (Why is no real title available?)
• Conditional variance estimation in heteroscedastic regression models
• Monotone nonparametric regression with random design
• Data-driven wavelet-Fisz methodology for nonparametric function estimation
• Monotonicity Conditions and Inequality Imputation for Sample-Selection and Non-Response Problems
• Nonparametric estimation of homogeneous functions

This page was built for publication: On the estimation of a monotone conditional variance in nonparametric regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734411)