Wavelet-M-estimation for time-varying coefficient time series models
Summary: This paper proposes wavelet-M-estimation for time-varying coefficient time series models by using a robust-type wavelet technique, which can adapt to local features of the time-varying coefficients and does not require the smoothness of the unknown time-varying coefficient. The wavelet-M-estimation has the desired asymptotic properties and can be used to estimate conditional quantile and to robustify the usual mean regression. Under mild assumptions, the Bahadur representation and the asymptotic normality of wavelet-M-estimation are established.
- Wavelet estimation in time-varying coefficient models
- Wavelet estimation in time-varying coefficient time series models with measurement errors
- Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
- Wavelet estimation in varying-coefficient models
- Nonlinear wavelet estimation of time-varying autoregressive processes
- Adapting to Unknown Smoothness via Wavelet Shrinkage
- Asymptotic Normality ofM-Estimators for Varying Coefficient Models with Longitudinal Data
- Bahadur representation and its applications for local polynomial estimates in nonparametric M -regression
- Formulae for mean integrated squared error of nonlinear wavelet-based density estimators
- Functional-Coefficient Regression Models for Nonlinear Time Series
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- Local linear M-estimation in non-parametric spatial regression
- Local M-estimator for nonparametric time series.
- Mixing: Properties and examples
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
- Quantile regression.
- Robust local polynomial regression for dependent data
- Robust Statistics
- Statistical inference for partially time-varying coefficient errors-in-variables models
- Statistical inference in partially time-varying coefficient models
- Theory of Reproducing Kernels
- Trending time series and macroeconomic activity: Some present and future challenges
- Trending time-varying coefficient time series models with serially correlated errors
- Wavelet estimation in varying coefficient models for censored dependent data
- Wavelet estimation in varying-coefficient models
- Wavelet estimation in varying-coefficient partially linear regression models
- Wavelet Methods for Curve Estimation
- Wavelets, approximation, and statistical applications
- Time-varying cointegration model using wavelets
- Wavelet estimation in time-varying coefficient models
- \(M\)-estimation of wavelet variance
- Transfer function models with time-varying coefficients
- Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
- Wavelet estimation for factor models with time-varying loadings
- Wavelet estimation in time-varying coefficient time series models with measurement errors
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- Wavelet-L1-estimation for non parametric location-scale models under a general dependence framework
- Robust Two-Step Wavelet-Based Inference for Time Series Models
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