Nonparametric multiplicative heteroscedasticity in multi-dimensional regression

Kyusang Yu

doi:10.1016/j.jkss.2017.01.001

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Nonparametric multiplicative heteroscedasticity in multi-dimensional regression

Kyusang Yu

Year: 2017 Journal: Journal of the Korean Statistical Society Vol: 46 (3)Pages: 404-412 Publisher: Elsevier BV

DOI: 10.1016/j.jkss.2017.01.001

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Keywords:

Heteroscedasticity Conditional variance Mathematics Nonparametric statistics Nonparametric regression Variance function Estimator Econometrics Multiplicative function Statistics Semiparametric regression Conditional expectation Additive model Autoregressive conditional heteroskedasticity

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Bayesian Methods and Mixture Models

Physical Sciences → Computer Science → Artificial Intelligence

Nonparametric multiplicative heteroscedasticity in multi-dimensional regression

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