Spline Estimation for A Nonparametric Variance Model Under Dependent Innovations

摘要：

A nonparametric variance model under dependent innovations is considered in this paper. Polynomial spline estimator of variance function is constructed. Under the α-mixing condition, bias and variance of the estimator is given. Also, uniform rate of convergence is obtained. The polynomial spline fitting of the variance function is applied to the CNY/USD middle exchange rate series.

关键词： Nonparametric variance model Dependent innovation Spline estimation Large sample property Ezchange rate

作者: WU Xinqian YANG Wancai

作者单位: School of Sciences, Henan University of Science and Technology, P.R.China, 471003

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）