EconPapers    
Economics at your fingertips  
 

Spline confidence bands for variance functions

Qiongxia Song and Lijian Yang

Journal of Nonparametric Statistics, 2009, vol. 21, issue 5, 589-609

Abstract: Asymptotically exact and conservative confidence bands are obtained for possibly heteroscedastic variance functions, using piecewise constant and piecewise linear spline estimation, respectively. The variance estimation is as efficient as an infeasible estimator when the conditional mean function is known, and the widths of the confidence bands are of optimal order. Simulation experiments provide strong evidence that corroborates the asymptotic theory while the computing is extremely fast. A slower bootstrap band is also proposed, with much higher accuracy. As illustrations, the bootstrap spline band has been applied to test for heteroscedasticity in fossil data and in motorcycle data.

Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1080/10485250902811151 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:21:y:2009:i:5:p:589-609

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485250902811151

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).

 
Page updated 2025-03-20
Handle: RePEc:taf:gnstxx:v:21:y:2009:i:5:p:589-609