Two-step estimation of time-varying additive model for locally stationary time series

doi:10.1016/j.csda.2018.08.023

CORC > 上海财经大学 > 上海财经大学

	Two-step estimation of time-varying additive model for locally stationary time series
	Hu, Lixia 1; Huang, Tao 2; You, Jinhong 2
刊名	COMPUTATIONAL STATISTICS & DATA ANALYSIS
	2019-02
卷号	130 页码:94-110
关键词	Time-varying additive model Locally stationary process alpha-mixing Local linear estimator Tensor product
ISSN号	0167-9473
DOI	10.1016/j.csda.2018.08.023
英文摘要	In the analysis of locally stationary process, a time-varying additive model (tvAM) can effectively capture the dynamic feature of regression function. In combination with the strengths of tensor product of B-spline smoothing and local linear smoothing method, a two-step estimation method is proposed. It is shown that the proposed estimator is uniformly consistent and asymptotically oracle efficient as if the other component functions were known. Furthermore, a nonparametric bootstrap procedure is proposed to test the time-varying property of regression function. Simulation studies investigate the finite-sample performance of the proposed methods and validate the asymptotic theory. An environmental dataset illustrating the proposed method is also considered. (C) 2018 Elsevier B.V. All rights reserved.
WOS研究方向	Computer Science ; Mathematics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000447571500006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/367]
专题	上海财经大学
通讯作者	Huang, Tao
作者单位	1.Shanghai Lixin Univ Accounting & Finance, Sch Stat & Math, Shanghai, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Hu, Lixia,Huang, Tao,You, Jinhong. Two-step estimation of time-varying additive model for locally stationary time series[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2019,130:94-110.
APA	Hu, Lixia,Huang, Tao,&You, Jinhong.(2019).Two-step estimation of time-varying additive model for locally stationary time series.COMPUTATIONAL STATISTICS & DATA ANALYSIS,130,94-110.
MLA	Hu, Lixia,et al."Two-step estimation of time-varying additive model for locally stationary time series".COMPUTATIONAL STATISTICS & DATA ANALYSIS 130(2019):94-110.