Estimation and variable selection in nonparametric heteroscedastic regression

@article{Yau2003EstimationAV,
  title={Estimation and variable selection in nonparametric heteroscedastic regression},
  author={Paul Yau and Robert Kohn},
  journal={Statistics and Computing},
  year={2003},
  volume={13},
  pages={191-208}
}
The article considers a Gaussian model with the mean and the variance modeled flexibly as functions of the independent variables. The estimation is carried out using a Bayesian approach that allows the identification of significant variables in the variance function, as well as averaging over all possible models in both the mean and the variance functions. The computation is carried out by a simulation method that is carefully constructed to ensure that it converges quickly and produces… CONTINUE READING
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