Quasi-likelihood estimation of the single index conditional variance model

DOI10.1016/j.csda.2018.06.008zbMath1469.62176OpenAlexW2811498445WikidataQ129599487 ScholiaQ129599487MaRDI QIDQ1796931

Hong-Fan Zhang

Publication date: 17 October 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.06.008

zbMATH Keywords

heteroscedasticityquasi-likelihoodconditional variancesingle index model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05)

Related Items (1)

High-dimensional index volatility models via Stein's identity

Cites Work

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