Statistical inference of locally stationary functional coefficient models
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Publication:2189096
Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Medical epidemiology (92C60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- A measure of stationarity in locally stationary processes with applications to testing
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- Functional-Coefficient Regression Models for Nonlinear Time Series
- Inference of time-varying regression models
- Nonlinear time series. Theory, methods and applications with R examples
- Nonparametric fixed effects model for panel data with locally stationary regressors
- Nonparametric quantile estimations for dynamic smooth coefficient models
- Nonparametric regression for locally stationary time series
- On the Kullback-Leibler information divergence of locally stationary processes
- SCAD-penalized regression for varying-coefficient models with autoregressive errors
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- Simultaneous Inference of Linear Models with Time Varying Coefficients
- Simultaneous confidence bands and hypothesis testing in varying-coefficient models
- Statistical estimation in varying coefficient models
- Statistical inference of time-varying single-index coefficient models for locally stationary time series
- Testing for structural change in time-varying nonparametric regression models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Trending time-varying coefficient time series models with serially correlated errors
- Varying coefficient models for data with auto-correlated error process
- Volatility contagion: a range-based volatility approach
Cited in
(4)- Estimation and identification of a varying-coefficient additive model for locally stationary processes
- Functional-coefficient models for nonstationary time series data
- Time-varying additive model with autoregressive errors for locally stationary time series
- A novel approach for nonstationary time series analysis with time-invariant correlation coefficient
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