Wyniki wyszukiwania - BazTech

Ograniczanie wyników

1 Control and Cybernetics

1 2012

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: geometric moment contraction

Sortuj według:

Ogranicz wyniki do:

Performance of variance function estimators for autoregressive time series of order one: asymptotic normality and numerical study

Borkowski P., Mielniczuk J.

Control and Cybernetics

2012

Vol. 41, no. 2

415-441

We study performance of several conditional variance estimators for an autoregressive time series which include local linear smoothers with various bandwidths, local likelihood and difference-based estimators. In the theoretical part, asymptotic normality of the local linear estimator of variance with no mixing assumptions imposed on the underlying process is proved. Moreover, numerical examples performed reveal that a two-stage local linear smoother with a bandwidth, proposed by Ruppert, Sheather and Wand, used to estimate the regression function and a simple rule of thumb bandwidth for variance estimation performs best for variances without much structure, whereas the bandwidth considered by Fan and Yao works very well for much more variable variances.