Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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NONPARAMETRIC ESTIMATION OF THE VARIANCE FUNCTION WITH A CHANGE POINT

  • Kang Kee-Hoon (Department of Statistics, Hankuk University of Foreign Studies) ;
  • Huh Jib (Department of Statistics, Duksung Women's University)
  • Published : 2006.03.01
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Abstract

In this paper we consider an estimation of the discontinuous variance function in nonparametric heteroscedastic random design regression model. We first propose estimators of the change point in the variance function and then construct an estimator of the entire variance function. We examine the rates of convergence of these estimators and give results for their asymptotics. Numerical work reveals that using the proposed change point analysis in the variance function estimation is quite effective.

Keywords

References

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