Simulations

Paola Gloria Ferrario ()

Chapter Chapter 6 in Local Variance Estimation for Uncensored and Censored Observations, 2013, pp 117-127 from Springer

Abstract: Abstract For the purpose of empirical investigation of the performance of local variance estimators in the finite sample case, we conduct simulations based on 200 random samples, each of size n = 200, from the one-dimensional model $${{Y}_{i}}=m({{X}_{i}})+\sigma ({{X}_{i}}){{\varepsilon }_{i}},$$ with $${{\sigma }^{2}}(x)=\left| x \right|,m(x)={{\left| x \right|}^{1/6}}$$ where $$\left\{ {{X}_{i}} \right\}$$ and $$\left\{ {{\in }_{i}} \right\}$$ are two independent sequences of independent random variables, $${{\in }_{i}}\sim N(0,1),{{X}_{i}}\sim u[-1,1]=\mu $$ .

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-658-02314-0_6

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DOI: 10.1007/978-3-658-02314-0_6

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