Adaptive nonparametric regression with conditional heteroskedasticity
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |