Doubly penalized likelihood estimator in heteroscedastic regression
A penalized likelihood estimation procedure is developed for heteroscedastic regression. A distinguishing feature of the new methodology is that it estimates both the mean and variance functions simultaneously without parametric assumption for either. An efficient implementation of the estimating procedure is also provided. The procedure is illustrated by a Monte Carlo example. A potential generalization, and application to the covariance modeling problem in numerical weather prediction is noted.
Volume (Year): 69 (2004)
Issue (Month): 1 (August)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jianqing Fan & Qiwei Yao, 1998. "Efficient estimation of conditional variance functions in stochastic regression," LSE Research Online Documents on Economics 6635, London School of Economics and Political Science, LSE Library.
- Tauchen, George E. & Gallant, A. Ronald, 1995.
"Estimation of Continuous Time Models for Stock Returns and Interest Rates,"
95-53, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 1997. "Estimation Of Continuous-Time Models For Stock Returns And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 135-168, January.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:69:y:2004:i:1:p:11-20. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.