Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-09-03
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
This paper proposes wavelet-M-estimation for time-varying coefficient time series models by using a robust-type wavelet technique, which can adapt to local features of the time-varying coefficients and does not require the smoothness of the unknown time-varying coefficient.
The wavelet-M-estimation has the desired asymptotic properties and can be used to estimate conditional quantile and to robustify the usual mean regression.
Under mild assumptions, the Bahadur representation and the asymptotic normality of wavelet-M-estimation are established.
American Psychological Association (APA)
Zhou, Xingcai& Zhu, Fangxia. 2020. Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1152773
Modern Language Association (MLA)
Zhou, Xingcai& Zhu, Fangxia. Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-11.
https://search.emarefa.net/detail/BIM-1152773
American Medical Association (AMA)
Zhou, Xingcai& Zhu, Fangxia. Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1152773
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152773