Nonparametric covariance model

Jianxin Yin, Zhi Geng, Runze Li, Hansheng Wang

Research output: Contribution to journalArticlepeer-review

23 Scopus citations

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

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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