2019
DOI: 10.1155/2019/7146793
|View full text |Cite
|
Sign up to set email alerts
|

Averaged and Integrated Estimations of Varying-Coefficient Regression Models with Dependent Observations

Abstract: In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence. This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationarymixing sequence. Both the averaged and integrated estimators of coefficient functions are proposed. The asymptotic normalities of the proposed averaged and integrated estimators are also established.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1

Citation Types

0
2
0

Year Published

2022
2022
2022
2022

Publication Types

Select...
1

Relationship

0
1

Authors

Journals

citations
Cited by 1 publication
(2 citation statements)
references
References 18 publications
0
2
0
Order By: Relevance
“…At present, there are two approaches to solve the problem. One is the marginal integration technique [31][32][33], the other is the smooth backfitting [34,35].…”
Section: Estimation Methodsmentioning
confidence: 99%
See 1 more Smart Citation
“…At present, there are two approaches to solve the problem. One is the marginal integration technique [31][32][33], the other is the smooth backfitting [34,35].…”
Section: Estimation Methodsmentioning
confidence: 99%
“…In model ( 5), due to the intercept function A 0 (t) and coefficient functions α(Z) and β(Z) depend on different smoothing covariates respectively, it is difficult to get a good estimation by selecting a single bandwidth. The existing literature shows that in order to make the estimations having good properties, such as asymptotic normality and more, the bandwidth needs to meet the following constraints [31][32][33]: and c i is a constant. However, so far, how to select the optimal bandwidth in varying-coefficient models with different smoothing covariates remain a problem that needs further research.…”
Section: Bandwidth Selectionmentioning
confidence: 99%