Spline estimation for nonparametric variance models with linear process innovations

Abstract

Nonparametric variance models with fixed design and linear process innovations are considered in this paper. Under mild conditions, bias and variance of the spline estimator of variance function are given. Uniform rate of convergence is also obtained. The estimation is applied to the CNY/USD foreign exchange rate series.

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Cite this paper

@article{Xinqian2011SplineEF, title={Spline estimation for nonparametric variance models with linear process innovations}, author={Wu Xinqian and Yang Wancai and Li Shuangpeng}, journal={2011 International Conference on Consumer Electronics, Communications and Networks (CECNet)}, year={2011}, pages={5251-5254} }