Varying coefficient functional autoregressive model with application to the U.S. treasuries
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Publication:2011525
DOI10.1016/j.jmva.2017.05.003zbMath1397.62154OpenAlexW2621071982MaRDI QIDQ2011525
Publication date: 3 August 2017
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2017.05.003
sieve estimatorlocal linear regressionvarying coefficient modelyield curvesfunctional autoregressive model
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 actuarial sciences and financial mathematics (62P05)
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Cites Work
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