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NONPARAMETRIC COVARIANCE MODEL.

Authors: Jianxin, Yin; Zhi, Geng; Runze, Li; Hansheng, Wang;

NONPARAMETRIC COVARIANCE MODEL.

Abstract

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.

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