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NONPARAMETRIC COVARIANCE MODEL
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...
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| Autores principales: | , , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
2010
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| Materias: | |
| Acceso en línea: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3002111/ https://ncbi.nlm.nih.gov/pubmed/21170152 |
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