Fang Yun, Yu Zhou. Local Linear Estimation of Conditional Third Central Moment[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(1): 72-80.
Citation:
Fang Yun, Yu Zhou. Local Linear Estimation of Conditional Third Central Moment[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(1): 72-80.
Fang Yun, Yu Zhou. Local Linear Estimation of Conditional Third Central Moment[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(1): 72-80.
Citation:
Fang Yun, Yu Zhou. Local Linear Estimation of Conditional Third Central Moment[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(1): 72-80.
Local Linear Estimation of Conditional Third Central Moment
In this paper, we propose a local linear estimator for conditional third central moment. The asymptotic bias and variance are derived. General cross validation (GCV) is recommended for bandwidth selection. A simple simulation study is carried out to illustrate the usefulness of the proposed method. \newcommand\fundinfoThis work was supported by National Social Science Foundation (08CTJ001)
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