Transfer function models with time-varying coefficients (Q428348): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: wavethresh / rank | |||
Normal rank | |||
Revision as of 09:53, 28 February 2024
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)
0 references
19 June 2012
0 references
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.
0 references
estimation
0 references
least squares method
0 references
wavelet expansions
0 references
