Smoothing the difference-based estimates of variance using variational mode decomposition |
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| Authors: | T. Palanisamy |
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| Affiliation: | Department of Mathematics, Amrita School of Engineering - Coimbatore, Amrita Vishwa Vidyapeetham, Amrita University, India |
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| Abstract: | We propose a variational mode decomposition approach to estimate the variance function in a nonparametric heteroscedastic fixed design regression model. A data-driven estimator is constructed by applying variational mode decomposition technique to the difference-based initial estimates. The numerical results show that the proposed estimator performs better than the existing variance estimation procedures in the mean square sense. |
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| Keywords: | Difference-based initial estimates Heteroscedasticity Variational mode decomposition |
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