Time-varying coefficient models with ARMA-GARCH structures for longitudinal data analysis

DOI10.1080/02664763.2014.949638MaRDI QIDQ5130149zbMATH OpenOpenAlexFDO

Authors Haiyan Zhao, Fred W. Huffer, Xu-Feng Niu

Publication date 4 November 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2014.949638

zbMATH Keywords

autoregressive and moving-average modelsautoregressive conditional heteroscedasticity modelsFramingham heart studyLaplace approximationtime-varying coefficient models

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• Estimation of the probability of an event as a function of several independent variables
• Functional-Coefficient Autoregressive Models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 472973 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
• On Information and Sufficiency
• Prediction in ARMA models with GARCH in mean effect
• Time series: theory and methods.

Cited in

(2)

• Hierarchical time-varying mixed-effects models in high-dimensional time series and longitudinal data studies
• Time varying mixed effects model with fused Lasso regularization

Describes a project that uses

Uses Software

• FinTS

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