ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY

DOI10.1017/S0266466614000450zbMath1442.62743OpenAlexW2125053043MaRDI QIDQ3465600

Zhijie Xiao, Liangjun Su, Sainan Jin

Publication date: 22 January 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000450

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity ⋮ Regression function estimation on non compact support in an heteroscesdastic model

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