Abstract
A new wavelet-based nonparametric estimator is introduced in an effort toapproximate variance functions. The new estimator possesses some superiorqualities that are illustrated through its actual performance in somesimulations.
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Pan, Z., Wang, X. A Wavelet-Based Nonparametric Estimator ofthe Variance Function. Computational Economics 15, 79–87 (2000). https://doi.org/10.1023/A:1008695011608
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DOI: https://doi.org/10.1023/A:1008695011608