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SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING
We consider a single-index structure to study heteroscedasticity in regression with high-dimensional predictors. A general class of estimating equations is introduced, the resulting estimators remain consistent even when the structure of the variance function is misspecified. The proposed estimators...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2013
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3901164/ https://ncbi.nlm.nih.gov/pubmed/24470726 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.5705/ss.2012.075 |
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