Nonparametric estimation of the conditional variance function with correlated errors

DOI10.1080/10485250601014271zbMath1106.62048OpenAlexW2091469999WikidataQ57976648 ScholiaQ57976648MaRDI QIDQ3426257

Juan M. Vilar Fernández, Mario Francisco Fernández

Publication date: 8 March 2007

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2183/858

zbMATH Keywords

heteroscedasticityautoregressive processlocal polynomials

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Local \(M\)-estimation for conditional variance function with dependent data ⋮ Two tests for heterocedasticity in nonparametric regression ⋮ Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors ⋮ Nonparametric variance function estimation with missing data

Cites Work

• Time series: theory and methods.
• Mixing: Properties and examples
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Multivariate regression estimation: Local polynomial fitting for time series
• Nonparametric regression with correlated errors.
• Multivariate locally weighted least squares regression
• Bandwidth selection for the local polynomial estimator under dependence: a simulation study
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Residual variance and residual pattern in nonlinear regression
• Design-adaptive Nonparametric Regression
• Efficient estimation of conditional variance functions in stochastic regression
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Local Polynomial Variance-Function Estimation
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

This page was built for publication: Nonparametric estimation of the conditional variance function with correlated errors