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http://dx.doi.org/10.5351/KJAS.2017.30.2.259

Discontinuous log-variance function estimation with log-residuals adjusted by an estimator of jump size  

Hong, Hyeseon (Department of Statistics, Duksung Women's University)
Huh, Jib (Department of Statistics, Duksung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.30, no.2, 2017 , pp. 259-269 More about this Journal
Abstract
Due to the nonnegativity of variance, most of nonparametric estimations of discontinuous variance function have used the Nadaraya-Watson estimation with residuals. By the modification of Chen et al. (2009) and Yu and Jones (2004), Huh (2014, 2016a) proposed the estimators of the log-variance function instead of the variance function using the local linear estimator which has no boundary effect. Huh (2016b) estimated the variance function using the adjusted squared residuals by the estimated jump size in the discontinuous variance function. In this paper, we propose an estimator of the discontinuous log-variance function using the local linear estimator with the adjusted log-squared residuals by the estimated jump size of log-variance function like Huh (2016b). The numerical work demonstrates the performance of the proposed method with simulated and real examples.
Keywords
discontinuity point; jump size; local linear estimator; log-squared residual; variance function;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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