Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables

DOI10.1007/s12044-021-00614-xzbMath1471.62277OpenAlexW3174150850MaRDI QIDQ2047428

De-Hui Wang, Jingwen Huang

Publication date: 20 August 2021

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12044-021-00614-x

zbMATH Keywords

asymptotic normalitybandwidth selectionlocal linear smoothingsingle-index-drivenvarying-coefficient time series model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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