Nonparametric Covariance Model.
نویسندگان
چکیده
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 established. A real data example is used to illustrate the proposed estimation procedure.
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ورودعنوان ژورنال:
- Statistica Sinica
دوره 20 شماره
صفحات -
تاریخ انتشار 2010