CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2006, 22(1) 337-346 DOI:      ISSN: 1001-4268 CN: 31-1256

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Nonparametric Variance Function Estimate in Generalized Linear Models

Chen Xia

School of Math and Statistics, Wuhan University, Wuhan, 430072

Abstract��

This article advances an improved estimate $\wh\sigma_{n}(u)$ of $\sigma(u)$, and under some conditions, proves $\sup\limits_{u}|\wh\sigma_{n}(u)-\sigma(u)|\rightarrow0$ in probability with faster speed.

Keywords��