Local M-estimation for Conditional Variance in Heteroscedastic Regression Models

Yunyan Wang and Mingtian Tang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 1, 48-62

Abstract: In this article, we develop a local M-estimation for the conditional variance in heteroscedastic regression models. The estimator is based on the local linear smoothing technique and the M-estimation technique, and it is shown to be not only asymptotically equivalent to the local linear estimator but also robust. The consistency and asymptotic normality of the local M-estimator for the conditional variance in heteroscedastic regression models are obtained under mild conditions. The simulation studies demonstrate that the proposed estimators perform well in robustness.

Date: 2015
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DOI: 10.1080/03610926.2012.736581

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