Heteroscedasticity Detection and Estimation with Quantile Difference Method

doi:10.1007/s11424-015-3161-x

	Heteroscedasticity Detection and Estimation with Quantile Difference Method
	Xia Wentao ; Xiong Wei ; Tian Maozai
	2016-04
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
卷号	29 期号:2 页码:511-530
摘要	When dealing with regression analysis, heteroscedasticity is a problem that the authors have to face with. Especially if little information can be got in advance, detection of heteroscedasticity as well as estimation of statistical models could be even more difficult. To this end, this paper proposes a quantile difference method (QDM) that can effectively estimate the heteroscedastic function. This method, being completely free from the estimation of mean regression function, is simple, robust and easy to implement. Moreover, the QDM method enables the detection of heteroscedasticity without any restrictions on error terms, consequently being widely applied. What is worth mentioning is that based on the proposed approach estimators of both mean regression function and heteroscedastic function can be obtained. In the end, the authors conduct some simulations to examine the performance of the proposed methods and use a real data to make an illustration.
关键词	Heteroscedastic function estimation heteroscedasticity testing mean regression function quantile difference
DOI	10.1007/s11424-015-3161-x
收录类别	SCI ; EI ; SCOPUS ; SCIE ; CSCD
ISSN	1009-6124
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000373369500014
CSCD记录号	CSCD:5668097
出版者	SPRINGER HEIDELBERG
EI入藏号	20153801276752
原始文献类型	Article
EISSN	1559-7067
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/12537
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Peoples R China; 2.Univ Int Business & Econ, Sch Stat, Beijing 100029, Peoples R China; 3.Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing 100872, Peoples R China
推荐引用方式 GB/T 7714	Xia Wentao,Xiong Wei,Tian Maozai. Heteroscedasticity Detection and Estimation with Quantile Difference Method[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2016,29(2):511-530.
APA	Xia Wentao,Xiong Wei,&Tian Maozai.(2016).Heteroscedasticity Detection and Estimation with Quantile Difference Method.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,29(2),511-530.
MLA	Xia Wentao,et al."Heteroscedasticity Detection and Estimation with Quantile Difference Method".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 29.2(2016):511-530.

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