A Wavelet-Based Nonparametric Estimator of the Variance Function

Zuohong Pan and Xiaodi Wang

Computational Economics, 2000, vol. 15, issue 1-2, 79-87

Abstract: A new wavelet-based nonparametric estimator is introduced in an effort to approximate variance functions. The new estimator possesses some superior qualities that are illustrated through its actual performance in some simulations. Citation Copyright 2000 by Kluwer Academic Publishers.

Date: 2000
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