Nonparametric covariance model
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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Work Title | Nonparametric covariance model |
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License | In Copyright (Rights Reserved) |
Work Type | Article |
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Publication Date | 2010 |
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Deposited | July 19, 2022 |
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