NONPARAMETRIC COVARIANCE MODEL.
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ABSTRACT:
SUBMITTER: Yin J
PROVIDER: S-EPMC3002111 | biostudies-literature | 2010
REPOSITORIES: biostudies-literature
Publications
NONPARAMETRIC COVARIANCE MODEL.
Yin Jianxin J Geng Zhi Z Li Runze R Wang Hansheng H
Statistica Sinica 20100101
There has been considerable attention on estimation of conditional variance function in the literature. We propose here a nonparametric model for conditional covariance matrix. A kernel estimator is developed accordingly, its asymptotic bias and variance are derived, and its asymptotic normality is established. A real data example is used to illustrate the proposed estimation procedure. ...[more]
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