SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING

doi:10.5705/ss.2012.075

CORC > 上海财经大学 > 上海财经大学

	SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING
	Zhu, Liping 1,2; Dong, Yuexiao 3; Li, Runze 4,5
刊名	STATISTICA SINICA
	2013-07
卷号	23 期号:3 页码:1235-1255
关键词	Conditional variance heteroscedasticity single-index model volatility
ISSN号	1017-0405
DOI	10.5705/ss.2012.075
英文摘要	We consider a single-index structure to study heteroscedasticity in regression with high-dimensional predictors. A general class of estimating equations is introduced. The resulting estimators remain consistent even when the structure of the variance function is misspecified. The proposed estimators estimate the conditional variance function asymptotically as well as if the conditional mean function was given a priori. Numerical studies confirm our theoretical observations and demonstrate that our proposed estimators have less bias and smaller standard deviation than the existing estimators.
WOS研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000339130500012
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1960]
专题	上海财经大学
通讯作者	Zhu, Liping
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Minist Educ, Shanghai 200433, Peoples R China; 2.Shanghai Univ Finance & Econ, Key Lab Math Econ, Minist Educ, Shanghai 200433, Peoples R China; 3.Temple Univ, Dept Stat, Philadelphia, PA 19122 USA; 4.Penn State Univ, Dept Stat, University Pk, PA 16802 USA; 5.Penn State Univ, Methodol Ctr, University Pk, PA 16802 USA
推荐引用方式 GB/T 7714	Zhu, Liping,Dong, Yuexiao,Li, Runze. SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING[J]. STATISTICA SINICA,2013,23(3):1235-1255.
APA	Zhu, Liping,Dong, Yuexiao,&Li, Runze.(2013).SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING.STATISTICA SINICA,23(3),1235-1255.
MLA	Zhu, Liping,et al."SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING".STATISTICA SINICA 23.3(2013):1235-1255.