Local M-estimation for Conditional Variance in Heteroscedastic Regression Models |
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Authors: | Yunyan Wang |
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Institution: | School of Science, Jiangxi University of Science and Technology, Ganzhou, China |
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Abstract: | In this article, we develop a local M-estimation for the conditional variance in heteroscedastic regression models. The estimator is based on the local linear smoothing technique and the M-estimation technique, and it is shown to be not only asymptotically equivalent to the local linear estimator but also robust. The consistency and asymptotic normality of the local M-estimator for the conditional variance in heteroscedastic regression models are obtained under mild conditions. The simulation studies demonstrate that the proposed estimators perform well in robustness. |
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Keywords: | Conditional variance function Local M-estimator Local linear regression Nonlinear time series |
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