• DocumentCode
    3151953
  • Title

    Spline estimation for nonparametric variance models with linear process innovations

  • Author

    Xinqian, Wu ; Wancai, Yang ; Shuangpeng, Li

  • Author_Institution
    Sch. of Math. & Stat., Henan Univ. of Sci. & Technol., Luoyang, China
  • fYear
    2011
  • fDate
    16-18 April 2011
  • Firstpage
    5251
  • Lastpage
    5254
  • 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.
  • Keywords
    foreign exchange trading; splines (mathematics); CNY-USD foreign exchange rate series; linear process; linear process innovations; nonparametric variance models; spline estimation; variance function; Biological system modeling; Convergence; Estimation; Exchange rates; Polynomials; Spline; Technological innovation; foreign exchange rate; large sample property; linear innovations; nonparametric variance model; spline estimation;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Consumer Electronics, Communications and Networks (CECNet), 2011 International Conference on
  • Conference_Location
    XianNing
  • Print_ISBN
    978-1-61284-458-9
  • Type

    conf

  • DOI
    10.1109/CECNET.2011.5768416
  • Filename
    5768416
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3151953