Nonparametric variance function estimation with missing data

作者：Perez Gonzalez A^*; Vilar Fernandez J M; Gonzalez Manteiga W

来源：Journal of Multivariate Analysis, 2010, 101(5): 1123-1142.

DOI：10.1016/j.jmva.2010.01.008

• Volatility
• Local Polynomial Regression
• Missing response
• Correlated errors

In this paper, a fixed design regression model where the errors follow a strictly stationary process is considered. In this model the conditional mean function and the conditional variance function are unknown curves. Correlated errors when observations are missing in the response variable are assumed. Four nonparametric estimators of the conditional variance function based on local polynomial fitting are proposed. Expressions of the asymptotic bias and variance of these estimators are obtained. A simulation study illustrates the behavior of the proposed estimators.

• 出版日期2010-5