Transfer Function Models with Time-Varying Coefficients
Joint Authors
Morettin, Pedro A.
Chiann, Chang
Moura, Maria Sílvia de A.
Toloi, Clélia M. C.
Source
Journal of Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-31, 31 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-04-24
Country of Publication
Egypt
No. of Pages
31
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Moura, Maria Sílvia de A.& Morettin, Pedro A.& Toloi, Clélia M. C.& Chiann, Chang. 2012. Transfer Function Models with Time-Varying Coefficients. Journal of Probability and Statistics،Vol. 2012, no. 2012, pp.1-31.
https://search.emarefa.net/detail/BIM-472597
Modern Language Association (MLA)
Moura, Maria Sílvia de A.…[et al.]. Transfer Function Models with Time-Varying Coefficients. Journal of Probability and Statistics No. 2012 (2012), pp.1-31.
https://search.emarefa.net/detail/BIM-472597
American Medical Association (AMA)
Moura, Maria Sílvia de A.& Morettin, Pedro A.& Toloi, Clélia M. C.& Chiann, Chang. Transfer Function Models with Time-Varying Coefficients. Journal of Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-31.
https://search.emarefa.net/detail/BIM-472597
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-472597
