Transfer function models with time-varying coefficients (Q428348): Difference between revisions
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Summary: We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions of the time-varying coefficients. We discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. We also present an application of the proposed procedure to a real pair of series. | |||
| Property / review text: Summary: We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions of the time-varying coefficients. We discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. We also present an application of the proposed procedure to a real pair of series. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6047877 / rank | |||
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| Property / zbMATH Keywords | |||
estimation | |||
| Property / zbMATH Keywords: estimation / rank | |||
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| Property / zbMATH Keywords | |||
least squares method | |||
| Property / zbMATH Keywords: least squares method / rank | |||
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| Property / zbMATH Keywords | |||
wavelet expansions | |||
| Property / zbMATH Keywords: wavelet expansions / rank | |||
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Revision as of 23:17, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Transfer function models with time-varying coefficients |
scientific article |
Statements
Transfer function models with time-varying coefficients (English)
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19 June 2012
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Summary: We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions of the time-varying coefficients. We discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. We also present an application of the proposed procedure to a real pair of series.
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estimation
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least squares method
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wavelet expansions
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