Spline Estimation for a Class of Time Series Variance Model

19th International Conference on Industrial Engineering and Engineering Management（2013）

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摘要

A class of nonparametric variance model with weakly stationary linear innovation process is considered in this paper. Based on polynomial spline method, optimal global rate of convergence of the estimator of nonparametric variance function is obtained. The methodology is illustrated by simulation and real data examples.

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关键词

Global convergence, Linear innovation process, Nonparametric variance model, Spline estimation

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