Nonparametric Covariance Model

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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Year of publication:	[2008]
Authors:	Yin, Jianxin
Other Persons:	Geng, Zhi (contributor) ; Li, Runze (contributor) ; Wang, Hansheng (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Nichtparametrisches Verfahren \| Nonparametric statistics \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility

Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Statistica Sinica, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 27, 2008 erstellt
Classification:	C5 - Econometric Modeling ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012768311