Two-step estimation of time-varying additive model for locally stationary time series

DOI10.1016/j.csda.2018.08.023zbMath1469.62083OpenAlexW2889936010WikidataQ129182714 ScholiaQ129182714MaRDI QIDQ1799876

Tao Huang, Lixia Hu, Jin-hong You

Publication date: 19 October 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.08.023

zbMATH Keywords

local linear estimatortensor product\(\alpha\)-mixinglocally stationary processtime-varying additive model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12)

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