Conditional variance estimation via nonparametric generalized additive models

DOI10.1016/J.JKSS.2018.11.007zbMath1416.62234OpenAlexW2902717736WikidataQ128896103 ScholiaQ128896103MaRDI QIDQ1740319

Kyusang Yu

Publication date: 30 April 2019

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.11.007

zbMATH Keywords

quasi-likelihoodgeneralized additive modelscurse of dimensionmultiplicative conditional variance

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12)

Related Items (2)

Two-stage variational mode decomposition approach to enhance the estimates of variance function ⋮ Partial linear regression of compositional data

Cites Work

• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Flexible generalized varying coefficient regression models
• Semi-parametric regression: efficiency gains from modeling the nonparametric part
• Conditional variance estimation in heteroscedastic regression models
• Nonparametric multiplicative heteroscedasticity in multi-dimensional regression
• Smooth backfitting in generalized additive models
• Nonparametric estimation of noisy integral equations of the second kind
• The ∏ Method for Estimating Multivariate Functions from Noisy Data
• Efficient estimation of conditional variance functions in stochastic regression
• A kernel method of estimating structured nonparametric regression based on marginal integration

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