VC: a method for estimating time-varying coefficients in linear models

DOI10.1007/s42952-021-00110-yOpenAlexW4230494480MaRDI QIDQ2132052

Ekkehart Schlicht

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-021-00110-y

zbMATH Keywords

linear modelKalman filteringtime-varying coefficientspenalized least squarestime-series analysisstate-space estimationHP-filtermoments estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Local aggregation in a dynamic setting
• Statistical estimation in varying coefficient models
• Pyrrho's lemma, or have it your way
• A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived from this Principle
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
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