On conditional variance estimation in nonparametric regression

Siddhartha Chib; Edward Greenberg

doi:10.1007/s11222-011-9307-3

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On conditional variance estimation in nonparametric regression

Siddhartha Chib Edward Greenberg

Year: 2012 Journal: Statistics and Computing Vol: 23 (2)Pages: 261-270 Publisher: Springer Science+Business Media

DOI: 10.1007/s11222-011-9307-3

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Keywords:

Heteroscedasticity Stochastic volatility Frequentist inference Conditional variance Econometrics Mathematics Nonparametric regression Variance function Markov chain Monte Carlo Semiparametric regression Nonparametric statistics Statistics Bayesian linear regression Autoregressive conditional heteroskedasticity Bayesian probability Regression analysis Volatility (finance) Bayesian inference

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Bayesian Methods and Mixture Models

Physical Sciences → Computer Science → Artificial Intelligence

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

On conditional variance estimation in nonparametric regression

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