Wavelet-M-estimation for time-varying coefficient time series models
type: Item
instance of: scholarly article
title: Wavelet-M-estimation for time-varying coefficient time series models
zbMATH Open document ID: 1459.62065
DOI: 10.1155/2020/1025452
author: Xingcai Zhou
author: Fangxia Zhu
published in: Discrete Dynamics in Nature and Society
publication date: 2020-10-14T00:00:00Z
review text: Summary: This paper proposes wavelet-M-estimation for time-varying coefficient time series models by using a robust-type wavelet technique, which can adapt to local features of the time-varying coefficients and does not require the smoothness of the unknown time-varying coefficient. The wavelet-M-estimation has the desired asymptotic properties and can be used to estimate conditional quantile and to robustify the usual mean regression. Under mild assumptions, the Bahadur representation and the asymptotic normality of wavelet-M-estimation are established.
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7260892
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/1025452
OpenAlex ID: W3081832896
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description: scientific article; zbMATH DE number 7260892