Transfer Function Models with Time-Varying Coefficients
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 thr...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2012/451076 |
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| _version_ | 1832559738125025280 |
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| author | Maria Sílvia de A. Moura Pedro A. Morettin Clélia M. C. Toloi Chang Chiann |
| author_facet | Maria Sílvia de A. Moura Pedro A. Morettin Clélia M. C. Toloi Chang Chiann |
| author_sort | Maria Sílvia de A. Moura |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-054557ac1b554f24b847eb593d09e8ad |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-054557ac1b554f24b847eb593d09e8ad2025-02-03T01:29:16ZengWileyJournal of Probability and Statistics1687-952X1687-95382012-01-01201210.1155/2012/451076451076Transfer Function Models with Time-Varying CoefficientsMaria Sílvia de A. Moura0Pedro A. Morettin1Clélia M. C. Toloi2Chang Chiann3Department of Statistics, Federal University of São Carlos, 13565-905 São Carlos, SP, BrazilDepartment of Statistics, University of São Paulo, 05508-090 São Paulo, SP, BrazilDepartment of Statistics, University of São Paulo, 05508-090 São Paulo, SP, BrazilDepartment of Statistics, University of São Paulo, 05508-090 São Paulo, SP, BrazilWe 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.http://dx.doi.org/10.1155/2012/451076 |
| spellingShingle | Maria Sílvia de A. Moura Pedro A. Morettin Clélia M. C. Toloi Chang Chiann Transfer Function Models with Time-Varying Coefficients Journal of Probability and Statistics |
| title | Transfer Function Models with Time-Varying Coefficients |
| title_full | Transfer Function Models with Time-Varying Coefficients |
| title_fullStr | Transfer Function Models with Time-Varying Coefficients |
| title_full_unstemmed | Transfer Function Models with Time-Varying Coefficients |
| title_short | Transfer Function Models with Time-Varying Coefficients |
| title_sort | transfer function models with time varying coefficients |
| url | http://dx.doi.org/10.1155/2012/451076 |
| work_keys_str_mv | AT mariasilviadeamoura transferfunctionmodelswithtimevaryingcoefficients AT pedroamorettin transferfunctionmodelswithtimevaryingcoefficients AT cleliamctoloi transferfunctionmodelswithtimevaryingcoefficients AT changchiann transferfunctionmodelswithtimevaryingcoefficients |