Spline estimation for nonparametric variance models with linear process innovations

机译：具有线性过程创新的非参数方差模型的样条估计

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Nonparametric variance models with fixed design and linear process innovations are considered in this paper. Under mild conditions, bias and variance of the spline estimator of variance function are given. Uniform rate of convergence is also obtained. The estimation is applied to the CNY/USD foreign exchange rate series.

机译：本文考虑了具有固定设计和线性过程创新的非参数方差模型。在温和条件下，给出了方差函数的样条估计量的偏差和方差。还可以获得统一的收敛速度。该估算值适用于CNY / USD汇率系列。

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《2011 International Conference on Consumer Electronics, Communications and Networks》|2011年|p.5251-5254|共4页
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Xinqian Wu; Wancai Yang; Shuangpeng Li;
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正文语种
中图分类光电子技术的应用;
关键词
foreign exchange rate; large sample property; linear innovations; nonparametric variance model; spline estimation;

机译：外汇汇率;大样本属性;线性创新;非参数方差模型;样条估计;

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1. PROJECTED SPLINE ESTIMATION OF THE NONPARAMETRIC FUNCTION IN HIGH-DIMENSIONAL PARTIALLY LINEAR MODELS FOR MASSIVE DATA [J] . Lian Heng, Zhao Kaifeng, Lv Shaogao The Annals of Statistics: An Official Journal of the Institute of Mathematical Statistics . 2019,第5期

机译：大型数据的高维部分线性模型中的非参数函数的投影样条估计
2. Nonparametric density estimation for linear processes with infinite variance [J] . Honda T Annals of the Institute of Statistical Mathematics . 2009,第2期

机译：具有无限方差的线性过程的非参数密度估计
3. Nonparametric density estimation for linear processes with infinite variance [J] . Toshio Honda Annals of the Institute of Statistical Mathematics . 2009,第2期

机译：具有无限方差的线性过程的非参数密度估计
4. Spline estimation for nonparametric variance models with linear process innovations [C] . Xinqian Wu, Wancai Yang, Shuangpeng Li International Conference on Consumer Electronics, Communications and Networks . 2011

机译：具有线性过程创新的非参数差异模型的样条估计
5. Essays on Nonparametric Identification: Identification of Dependent Multidimensional Unobserved Variables in a System of Linear Equations Identification and Estimation for Regressions with Errors in All Variables Identification of Nonparametrically Distributed Random Coefficients in Linear Panel Data Models. [D] . Ben-Moshe, Dan. 2012

机译：关于非参数识别的论文：线性方程组中相关多维多维观测变量的识别以及线性面板数据模型中非参数分布随机系数的所有变量中所有变量均具有误差的回归估计。
6. Genetic heterogeneity of residual variance - estimation of variance components using double hierarchical generalized linear models [O] . Lars Rönnegård, Majbritt Felleki, Freddy Fikse, 2010

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7. Nonparametric density estimation for linear processes with infinite variance [O] . Toshio Honda 2007

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8. Parameter Estimation for ARMA Models with Infinite Variance Innovations [R] . Mikosch, T. 1993

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Spline estimation for nonparametric variance models with linear process innovations

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