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Local median estimation of variance function. (English) Zbl 1044.62040

Summary: This paper considers local median estimation in fixed design regression problems. The proposed method is employed to estimate the median function and the variance function of a heteroscedastic regression model. Strong convergence rates of the proposed estimators are obtained. Simulation results are given to show the performance of the proposed methods.

MSC:

62G08 Nonparametric regression and quantile regression
62J02 General nonlinear regression
62G20 Asymptotic properties of nonparametric inference
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