References
- Chen, G., Choi, Y. K. and Zhou, Y. (2005). Nonparametric estimation of structural change points in volatility models for time series. Journal of Econometrics, 126, 79-114. https://doi.org/10.1016/j.jeconom.2004.02.008
- Delgado, M. A. and Hidalgo, J. (2000). Nonparametric inference on structural breaks. Journal of Econometrics, 96, 113-144. https://doi.org/10.1016/S0304-4076(99)00052-4
- Gasser, T., Sroka, L. and Jennen-Steinmetz, C. (1986). Residual variance and residual pattern in nonlinear regression. Biometrika, 73, 625-634. https://doi.org/10.1093/biomet/73.3.625
- Gregoire, G. and Hamrouni, Z. (2002). Change point estimation by local linear smoothing. Journal of Multivariate Analysis, 83, 56-83. https://doi.org/10.1006/jmva.2001.2038
- Hall, P. and Carroll, R. J. (1989). Variance function estimation in regression: The effect of estimating the mean. Journal of Royal Statistical Society Series B, 51, 3-14.
- Hall, P., Kay, J. W. and Titterington, D. M. (1990). Asymptotically optimal difference-based estimation of variance in nonparametric regression. Biometrika, 77, 521-528. https://doi.org/10.1093/biomet/77.3.521
- Huh, J. (2002). Nonparametric discontinuity point estimation in density or density derivatives. Journal of Korean Statistical Society, 31, 261-276.
- Huh, J. (2005). Nonparametric detection of a discontinuity point in the variance function with the second moment function. Journal of Korean Data & Information Science Society, 16, 591-601.
- Huh, J. (2006). Testing the existence of a discontinuity point in the variance function. Journal of Korean Data & Information Science Society, 17, 707-716.
- Huh, J. (2008). Likelihood based detection of a change point in the variance function. Preprint.
- Kang, K. C. and Huh, J. (2006). Nonparametric estimation of the variance function with a change point. Journal of Korean Statistical Society, 35, 1-24.
- Muller, H G. (1992). Change-points in nonparametric regression analysis. Annals of Statistics, 20, 737-761. https://doi.org/10.1214/aos/1176348654
- Muller, H. G. and Stadtmuller, U. (1987). Estimation of heteroscedasticity in regression analysis. Annals of Statistics, 15, 610-625. https://doi.org/10.1214/aos/1176350364
- Perron, B. (2001). Jumps in the volatility of financial markets. Mimeo, available at http://mapageweb.umon treal.ca/perrob.
- Rice, J. (1984). Bandwidth choice for nonparametric regression. Annals of Statistics, 12, 1215-1230. https://doi.org/10.1214/aos/1176346788
- Ruppert, D., Wand, M. P., Holst, U. and H¨ossjer, O. (1997). Local polynomial variance-function estimation. Technomtrics, 39, 262-273. https://doi.org/10.2307/1271131
- Yu, K. and Jones, M. C. (2004). Likelihood-Based Local Linear Estimation of the Conditional Variance Function. Journal of the American Statistical Association, 99, 139-144. https://doi.org/10.1198/016214504000000133