Journal or Book Title
Journal of the Korean Statistical Society
We propose a flexible nonparametric estimation of a variance function from a one-dimensional process where the process errors are nonstationary and correlated. Due to nonstationarity a local variogram is defined, and its asymptotic properties are derived. We include a bandwidth selection method for smoothing taking into account the correlations in the errors. We compare the proposed difference-based nonparametric approach with Anderes and Stein(2011)’s local-likelihood approach. Our method has a smaller integrated MSE, easily fixes the boundary bias, and requires far less computing time than the likelihood-based method.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
The Korean Statistical Society
Kim, Eunice J. and Zhu, Zhengyuan, "Variance function estimation of a one-dimensional nonstationary process" (2019). Statistics Publications. 152.