Publication Type:

Journal Article

Authors:

T. Palanisamy

Source:

Communications in Statistics - Simulation and Computation (2016)

URL:

http://www.tandfonline.com/doi/abs/10.1080/03610918.2016.1140777

Keywords:

Difference-based initial estimates, Heteroscedasticity, Variational mode decomposition

Abstract:

We propose a variational mode decomposition approach to estimate the variance function in a nonparametric heteroscedastic fixed design regression model. A data-driven estimator is constructed by applying variational mode decomposition technique to the difference-based initial estimates. The numerical results show that the proposed estimator performs better than the existing variance estimation procedures in the mean square sense.

DOI 10.1080/03610918.2016.1140777

Cite this Research Publication

T. Palanisamy, “Smoothing the Difference-based Estimates of Variance Using Variational Mode Decomposition”, Communications in Statistics - Simulation and Computation , 2016.