Efficient estimation of varying coefficient models with serially correlated errors

Xiaojuan Kang; Tizheng Li

doi:10.1016/j.stamet.2016.05.005

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Efficient estimation of varying coefficient models with serially correlated errors

Xiaojuan Kang Tizheng Li

Year: 2016 Journal: Statistical Methodology Vol: 32 Pages: 161-184 Publisher: Elsevier BV

DOI: 10.1016/j.stamet.2016.05.005

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Keywords:

Mathematics Estimator Autoregressive model Least absolute deviations Scad Applied mathematics Penalty method Asymptotic distribution Function (biology) Least-squares function approximation Algorithm Statistics Mathematical optimization

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Control Systems and Identification

Physical Sciences → Engineering → Control and Systems Engineering

Efficient estimation of varying coefficient models with serially correlated errors

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