Doubly penalized likelihood estimator in heteroscedastic regression

Statistics and Probability Letters

Volumn 69, Issue 1, 2004, Pages 11-20

  Yuan, Ming ^a   Wahba, Grace ^a  

^a University of Wisconsin Madison   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4344681939     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2004.03.009     Document Type: Article

References (20)

1. Andersen T.G. Lund J. Estimating continuous time stochastic volatility function models of the short interest rate J. Economet. 77 1997 343-377
2. Carroll R.J. Adapting for heteroscedasticity in linear models Ann. Statist. 10 1982 1224-1233
3. Chapnik, B., Desroziers, G., Rabier, F., Talagrand, O., 2003. Properties and first application of an error statistics tuning method in variational assimilation. Mon. Weather Rev., to appear.
4. Dee D. Gaspari G. Redder C. Rukhovets L. da Silva A. Maximum-likelihood estimation of forecast and observation error covariance parameters. Part II: applications Mon. Weather Rev. 8 1999 1835-1849
5. Derber J. Bouttier F. A reformulation of the background error covariance in the ECMWF global data assimilation system Tellus 51A 1999 195-221
6. Fan J.Q. Yao Q.W. Efficient estimation of conditional variance functions in stochastic regression Biometrika 85 1998 645-660
7. Gallant A.R. Tauchen G. Estimation of continuous time models for stock returns and interest rates Macroeconom. Dyn. 1 1997 135-168
8. Gong J. Wahba G. Johnson D. Tribbia J. Adaptive tuning of numerical weather prediction models: simultaneous estimation of weighting, smoothing and physical parameters Mon. Weather Rev. 126 1998 210-231
9. Gu C. Smoothing Spline ANOVA Models 2002 Springer New York
10. Hall P. Carroll R.J. Variance function estimation in regression: the effect of the estimation of the mean J. Roy. Statist. Soc. B 51 1989 3-14
11. Hollingsworth A. Lönnberg P. The statistical structure of short-range forecast errors as determined from radiosonde data. Part I: the wind field Tellus 38A 1986 111-136
12. Jobson J.D. Fuller W.A. Least squares estimation when the covariance matrix and parameter vector are functionally related J. Amer. Statist. Assoc. 75 1980 176-181
13. Kimeldorf G. Wahba G. Some results on Tchebycheffian Spline Functions J. Mathematical analysis and Applications 33 1 1971 82-95
14. Muller H.G. Stadtmuller U. Estimation of heteroscedasticity in regression analysis Ann. Statist. 15 1987 610-625
15. Purser J. Parrish D. A Bayesian technique for estimating continuously varying statistical parameters of a variational assimilation Meteor. Atmos. Phys. 82 2003 209-226
16. Ruppert D. Wand M.P. Holst U. Hossjer O. Local polynomial variance-function estimation Technometrics 39 1997 262-273
17. Wahba G. Improper priors, spline smoothing and the problem of guarding against model errors in regression J. Roy. Statist. Soc. B 40 3 1978 364-372
18. Wahba, G., 1990. Spline models for observational data. CBMS-NSF Regional Conference Series in Applied Mathematics, 59. Society for Industrial and Applied Mathematics, SIAM, Philadelphia, PA.
19. Xiang D. Wahba G. A generalized approximate cross validation for smoothing splines with non-Gaussian data Statist. Sinica 6 1996 675-692
20. Yau P. Kohn R. Estimation and variable selection in nonparametric heteroscedastic regression Statist. Comput. 13 2003 191-208