Transfer function models with time-varying coefficients
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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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Cited in
(7)- Time series analysis of covariance based on linear transfer function models
- Evolutionary transfer functions of bilinear processes with time-varying coefficients
- Wavelet packet transfer function modelling of nonstationary time series
- Time-domain estimation of time-varying linear systems
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- Nonparametric transfer function models
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