Adaptive nonparametric regression with conditional heteroskedasticity

• Main Authors: JIN, Sainan, SU, Liangjun, XIAO, Zhijie
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Adaptive Estimation; Conditional Heteroskedasticity; Local Profile Likelihood Estimation; Local Polynomial Estimation; Nonparametric Regression; One-step Estimator; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1878; https://ink.library.smu.edu.sg/context/soe_research/article/2878/viewcontent/adaptive_nonparametric_regression_with_conditional_heteroskedasticity_pv.pdf
• Institution: Singapore Management University

In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile...