Transfer function models with time-varying coefficients (Q428348)
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| Language | Label | Description | Also known as |
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| English | Transfer function models with time-varying coefficients |
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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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