Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory
Lu, Z., Tjøstheim, D. & Yao, Q.
(2007).
Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory.
Statistica Sinica,
17(1), 177-198.
(2007).
Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory.
Statistica Sinica,
17(1), 177-198.
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