Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory

Lu, Zudi; Tjøstheim, Dag; and Yao, Qiwei

(2007) Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory. Statistica Sinica, 17 (1). pp. 177-198. ISSN 1017-0405

Copy

We have established the asymptotic theory for the estimation of adaptive varying-coe�cient linear models. More speci�cally we have shown that the estimator for the global index parameter is root-n consistent without imposing, as a prerequisite, that the estimator is within n

Item Type	Article
Keywords	adaptive varying-coe�cient model,mixing,asymptotic normality,index parameter,root-n consistency,uniform convergence.
Departments	Statistics
Date Deposited	13 Jun 2008 09:12
URI	https://researchonline.lse.ac.uk/id/eprint/5411