Adaptive estimation for varying coefficient models with nonstationary covariates

DOI10.1080/03610926.2018.1484483OpenAlexW2908238938WikidataQ128655667 ScholiaQ128655667MaRDI QIDQ5076882

Jun Yu, Zhiyong Zhou

Publication date: 17 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1484483

zbMATH Keywords

adaptive estimationvarying coefficient modellocal linear fittingnonstationary covariates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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