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Likelihood-Based Local Linear Estimation of the Conditional Variance Function

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  • Yu, K.
  • Jones, M.C.

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  • Yu, K. & Jones, M.C., 2004. "Likelihood-Based Local Linear Estimation of the Conditional Variance Function," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 139-144, January.
    • Handle: RePEc:bes:jnlasa:v:99:y:2004:p:139-144
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    Cited by:

    1. Holger Dette & Mareen Marchlewski & Jens Wagener, 2012. "Testing for a constant coefficient of variation in nonparametric regression by empirical processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 1045-1070, October.
    2. Ziqi Chen & Chenlei Leng, 2016. "Dynamic Covariance Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1196-1207, July.
    3. Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
    4. Denis-Alexandre Trottier & Van Son Lai & Anne-Sophie Charest, 2017. "CAT Bond Spreads Via HARA Utility and Nonparametric Tests," Working Papers 2017-002, Department of Research, Ipag Business School.
    5. Zhang, Hongfan, 2018. "Quasi-likelihood estimation of the single index conditional variance model," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 58-72.
    6. Yanchun Jin, 2016. "Nonparametric tests for the effect of treatment on conditional variance," KIER Working Papers 948, Kyoto University, Institute of Economic Research.
    7. Holger Dette & Kay Pilz, 2009. "On the estimation of a monotone conditional variance in nonparametric regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 111-141, March.
    8. Nunes Matthew A & Balding David J, 2010. "On Optimal Selection of Summary Statistics for Approximate Bayesian Computation," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 9(1), pages 1-16, September.
    9. Ye, Xu-Guo & Lin, Jin-Guan & Zhao, Yan-Yong & Hao, Hong-Xia, 2015. "Two-step estimation of the volatility functions in diffusion models with empirical applications," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 135-159.
    10. You, Jinhong & Zhou, Xian & Zhou, Yong, 2010. "Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1079-1101, May.
    11. Piotr Borkowski & Jan Mielniczuk, 2010. "Postmodel selection estimators of variance function for nonlinear autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 50-63, January.
    12. Ke-Li Xu & Peter C. B. Phillips, 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
    13. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    14. Rand Wilcox, 2005. "Estimating the conditional variance of Y, given X, in a simple regression model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(5), pages 495-502.
    15. Panagiotis Avramidis, 2016. "Adaptive likelihood estimator of conditional variance function," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 132-151, March.
    16. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    17. Li, Degui & Lu, Zudi & Linton, Oliver, 2010. "Loch linear fitting under near epoch dependence: uniform consistency with convergence rate," LSE Research Online Documents on Economics 58160, London School of Economics and Political Science, LSE Library.
    18. Ilmari Juutilainen & Juha Roning, 2010. "How to compare interpretatively different models for the conditional variance function," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(6), pages 983-997.
    19. Dette, Holger & Pilz, Kay F., 2004. "On the estimation of a monotone conditional variance in nonparametric regression," Technical Reports 2004,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    20. Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
    21. Hu, Jianhua & You, Jinhong & Zhou, Xian, 2017. "Improved estimation of fixed effects panel data partially linear models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 96-111.
    22. Jia Chen & Degui Li & Hua Liang & Suojin Wang, 2014. "Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data," Discussion Papers 14/26, Department of Economics, University of York.
    23. Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
    24. Pérez-González, A. & Vilar-Fernández, J.M. & González-Manteiga, W., 2010. "Nonparametric variance function estimation with missing data," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1123-1142, May.

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