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
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;
Conference_Titel :
Consumer Electronics, Communications and Networks (CECNet), 2011 International Conference on
Conference_Location :
XianNing
Print_ISBN :
978-1-61284-458-9
DOI :
10.1109/CECNET.2011.5768416
