ADAPTIVE VARYING-COEFFICIENT LINEAR MODELS FOR STOCHASTIC PROCESSES: ASYMPTOTIC THEORY

ADAPTIVE VARYING-COEFFICIENT LINEAR MODELS FOR STOCHASTIC PROCESSES: ASYMPTOTIC THEORY

We establish the asymptotic theory for the estimation of adaptive varying coefficient linear models. More specifically, we show that the estimator of the index parameter is root-n-consistent. It differs from the locally optimal estimator that has been proposed in the literature with a prerequisite t...

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Bibliographic Details
Main Authors: Lu, Zudi, Tjostheim, D., YAO, Q.
Format: Journal Article
Published: International Chinese Statistical Association 2007
Subjects:
uniform convergence
empirical process
root-n consistency
- beta-mixing
Adaptive varying-coefficient model
asymptotic normality
index parameter
Online Access:http://www3.stat.sinica.edu.tw/statistica/
http://hdl.handle.net/20.500.11937/15799

Internet

http://www3.stat.sinica.edu.tw/statistica/
http://hdl.handle.net/20.500.11937/15799

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