Transfer Function Models with Time-Varying Coefficients. (24th April 2012)

• Record Type: Journal Article
• Authors: Moura, Maria Sílvia de A.; Morettin, Pedro A.; Toloi, Clélia M. C.; Chiann, Chang
• Other Names: Bai Zhidong Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2012(2012)
• Publication Date: 2012-04-24
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2012/451076
• Languages: English
• ISSNs: 1687-952X

Abstract

Abstract : 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.