title: NONPARAMETRIC COVARIANCE MODEL.
abstract: There has been considerable attention on estimation of conditional variance function in the literature. We propose here a nonparametric model for conditional covariance matrix. A kernel estimator is developed accordingly, its asymptotic bias and variance are derived, and its asymptotic normality is established. A real data example is used to illustrate the proposed estimation procedure.
authors.affiliation: Peking University.
authors.forename: Jianxin
authors.initials: J
authors.lastname: Yin
authors.forename: Zhi
authors.initials: Z
authors.lastname: Geng
authors.forename: Runze
authors.initials: R
authors.lastname: Li
authors.forename: Hansheng
authors.initials: H
authors.lastname: Wang