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

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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

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