Nonparametric covariance model

Jianxin Yin, Zhi Geng, Runze Li, Hansheng Wang

Research output: Contribution to journalArticle

22 Citations (Scopus)

Abstract

There has been considerable attention paid to estimation of conditional variance functions in the literature. We propose a nonparametric model for the conditional covariance matrix. A kernel estimator is developed, its asymptotic bias and variance are derived, and its asymptotic normality is established. A data example is used to illustrate the proposed procedure.

Original languageEnglish (US)
Pages (from-to)469-479
Number of pages11
JournalStatistica Sinica
Volume20
Issue number1
StatePublished - Jan 1 2010

Fingerprint

Asymptotic Bias
Conditional Variance
Variance Function
Kernel Estimator
Nonparametric Model
Asymptotic Variance
Asymptotic Normality
Covariance matrix
Model
Nonparametric model
Asymptotic bias
Asymptotic variance
Conditional variance
Kernel estimator
Asymptotic normality

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Yin, J., Geng, Z., Li, R., & Wang, H. (2010). Nonparametric covariance model. Statistica Sinica, 20(1), 469-479.
Yin, Jianxin ; Geng, Zhi ; Li, Runze ; Wang, Hansheng. / Nonparametric covariance model. In: Statistica Sinica. 2010 ; Vol. 20, No. 1. pp. 469-479.
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Yin, J, Geng, Z, Li, R & Wang, H 2010, 'Nonparametric covariance model', Statistica Sinica, vol. 20, no. 1, pp. 469-479.

Nonparametric covariance model. / Yin, Jianxin; Geng, Zhi; Li, Runze; Wang, Hansheng.

In: Statistica Sinica, Vol. 20, No. 1, 01.01.2010, p. 469-479.

Research output: Contribution to journalArticle

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AU - Yin, Jianxin

AU - Geng, Zhi

AU - Li, Runze

AU - Wang, Hansheng

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AB - There has been considerable attention paid to estimation of conditional variance functions in the literature. We propose a nonparametric model for the conditional covariance matrix. A kernel estimator is developed, its asymptotic bias and variance are derived, and its asymptotic normality is established. A data example is used to illustrate the proposed procedure.

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Yin J, Geng Z, Li R, Wang H. Nonparametric covariance model. Statistica Sinica. 2010 Jan 1;20(1):469-479.