Estimation of semivarying coefficient time series models with ARMA errors
DOI10.1214/15-AOS1430zbMATH Open1346.60020MaRDI QIDQ309731FDOQ309731
Authors: Huang Lei, Yingcun Xia, Xu Qin 
Publication date: 7 September 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1467894710
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asymptotic normalitytime seriesspectral density functionB-splineARMA processcorrelated errorssemi-varying coefficient modelWhittle likelihood estimation
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
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Cited In (14)
- Model identification for time series with dependent innovations
- Evaluating multiplicative error models: a residual-based approach
- Improving the prediction performance of the Lasso by subtracting the additive structural noises
- A penalized estimation for the Cox model with ordinal multinomial covariates
- Serial correlation estimation through the imprecise goal programming model
- A novel partial-linear single-index model for time series data
- Robust tests for time series comparison based on Laplace periodograms
- On the semi-varying coefficient dynamic panel data model with autocorrelated errors
- A new approach of subgroup identification for high-dimensional longitudinal data
- High-dimensional regression with ordered multiple categorical predictors
- Regression models with ordered multiple categorical predictors
- Additive partial linear models with autoregressive symmetric errors and its application to the hospitalizations for respiratory diseases
- Two-step estimation of time-varying additive model for locally stationary time series
- The consistency of model selection for dynamic Semi-varying coefficient models with autocorrelated errors
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