Nonparametric Estimation of Discontinuous Variance Function in Regression Model

  • Kang, Kee-Hoon (Department of Statistics, Hankuk University of Foreign Studies) ;
  • Huh, Jib (Department of Statistics, Duksung Women's University)
  • 발행 : 2002.11.01

초록

We consider an estimation of discontinuous variance function in nonparametric heteroscedastic random design regression model. We first propose estimators of a change point and jump size in variance function and then construct an estimator of entire variance function. We examine the rates of convergence of these estimators and give results on their asymptotics. Numerical work reveals that the effectiveness of change point analysis in variance function estimation is quite significant.

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