EN
A new nonparametric estimation method of the variance in a heteroscedastic model
Abstract
In most economic phenomena, the assumption of homoscedasticity in
the classic linear regression model is not necessarily true, which leads to
heteroscedasticity. The heteroscedastic estimate is an important aspect
for the problem of heteroscedasticity. For this hot issue, this paper proposes a nonparametric estimation method with simple calculation for
the estimation of heteroscedasticity through orthogonal arrays, which
does not rely on the distribution of data. The performance of the proposed method is investigated by prediction error in real data sets and
simulations. The results suggest that this method offers substantial
improvements over the existing tests.
Keywords
References
- . . .
Details
Primary Language
English
Subjects
Statistics
Journal Section
Research Article
Publication Date
February 1, 2015
Submission Date
July 17, 2013
Acceptance Date
January 8, 2014
Published in Issue
Year 2015 Volume: 44 Number: 1
APA
Zhang, X., Hao, H., & Liang, J. (2015). A new nonparametric estimation method of the variance in a heteroscedastic model. Hacettepe Journal of Mathematics and Statistics, 44(1), 239-245. https://izlik.org/JA34TY62XJ
AMA
1.Zhang X, Hao H, Liang J. A new nonparametric estimation method of the variance in a heteroscedastic model. Hacettepe Journal of Mathematics and Statistics. 2015;44(1):239-245. https://izlik.org/JA34TY62XJ
Chicago
Zhang, Xiaoqin, Hongxia Hao, and Jiye Liang. 2015. “A New Nonparametric Estimation Method of the Variance in a Heteroscedastic Model”. Hacettepe Journal of Mathematics and Statistics 44 (1): 239-45. https://izlik.org/JA34TY62XJ.
EndNote
Zhang X, Hao H, Liang J (February 1, 2015) A new nonparametric estimation method of the variance in a heteroscedastic model. Hacettepe Journal of Mathematics and Statistics 44 1 239–245.
IEEE
[1]X. Zhang, H. Hao, and J. Liang, “A new nonparametric estimation method of the variance in a heteroscedastic model”, Hacettepe Journal of Mathematics and Statistics, vol. 44, no. 1, pp. 239–245, Feb. 2015, [Online]. Available: https://izlik.org/JA34TY62XJ
ISNAD
Zhang, Xiaoqin - Hao, Hongxia - Liang, Jiye. “A New Nonparametric Estimation Method of the Variance in a Heteroscedastic Model”. Hacettepe Journal of Mathematics and Statistics 44/1 (February 1, 2015): 239-245. https://izlik.org/JA34TY62XJ.
JAMA
1.Zhang X, Hao H, Liang J. A new nonparametric estimation method of the variance in a heteroscedastic model. Hacettepe Journal of Mathematics and Statistics. 2015;44:239–245.
MLA
Zhang, Xiaoqin, et al. “A New Nonparametric Estimation Method of the Variance in a Heteroscedastic Model”. Hacettepe Journal of Mathematics and Statistics, vol. 44, no. 1, Feb. 2015, pp. 239-45, https://izlik.org/JA34TY62XJ.
Vancouver
1.Xiaoqin Zhang, Hongxia Hao, Jiye Liang. A new nonparametric estimation method of the variance in a heteroscedastic model. Hacettepe Journal of Mathematics and Statistics [Internet]. 2015 Feb. 1;44(1):239-45. Available from: https://izlik.org/JA34TY62XJ