Spline estimation of functional coefficient regression models for time series with correlated errors

被引：7
|
作者：
Montoril, Michel H. [1 ]
Morettin, Pedro A. [2 ]
Chiann, Chang [2 ]
机构：
[1] Univ Estadual Campinas, Inst Math Stat & Sci Comp, Dept Stat, Campinas, Brazil
[2] Univ Sao Paulo, Inst Math & Stat, Dept Stat, BR-05508 Sao Paulo, Brazil
来源：
STATISTICS & PROBABILITY LETTERS | 2014年 / 92卷
基金：
巴西圣保罗研究基金会;
关键词：
Polynomial splines; Nonlinear time series; Functional autoregressive models; Nonparametric regression; Varying coefficient models;
D O I：
10.1016/j.spl.2014.05.021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this work we focus on functional coefficient regression (FCR) models. Here we study the estimation of FCR models by splines, with autoregressive errors and show the rates of convergence of the proposed estimator. The importance of taking into account the correlation is assessed via simulation studies and multi-step ahead forecasts for a real data set. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：226 / 231
页数：6
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