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Transfer function models with time-varying coefficients
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نویسنده
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moura m.s.d.a. ,morettin p.a. ,toloi c.m.c. ,chiann c.
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منبع
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journal of probability and statistics - 2012 - شماره : 0
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چکیده
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We consider a transfer function model with time-varying coefficients. we propose an estimation procedure,based on the least squares method and wavelet expansions of the time-varying coefficients. we discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. we also present an application of the proposed procedure to a real pair of series. © 2012 maria sílvia de a. moura et al.
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آدرس
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department of statistics,federal university of são carlos,13565-905 são carlos, Brazil, department of statistics,university of são paulo,05508-090 são paulo, Brazil, department of statistics,university of são paulo,05508-090 são paulo, Brazil, department of statistics,university of são paulo,05508-090 são paulo, Brazil
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Authors
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