Yin Jianxin, Geng Zhi, Li Runze, Wang Hansheng
Peking University.
Stat Sin. 2010;20:469-479.
There has been considerable attention on estimation of conditional variance function in the literature. We propose here a nonparametric model for conditional covariance matrix. A kernel estimator is developed accordingly, its asymptotic bias and variance are derived, and its asymptotic normality is established. A real data example is used to illustrate the proposed estimation procedure.
文献中对条件方差函数的估计已有相当多的关注。我们在此提出一种用于条件协方差矩阵的非参数模型。相应地开发了一种核估计器，推导了其渐近偏差和方差，并建立了其渐近正态性。使用一个实际数据示例来说明所提出的估计过程。
