Averaged and Integrated Estimations of Varying-Coefficient Regression Models with Dependent Observations

In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence. This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationary α-mixing sequence. Both the averaged and integra...

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Bibliographic Details
Published in:Discrete dynamics in nature and society 2019-01, Vol.2019 (2019), p.1-10
Main Authors: Fan, Guo-Liang, Xu, Hong-Xia
Format: Article
Language:English
Subjects:
Coefficients
Data smoothing
Dependence
Economic models
Estimators
Generalized linear models
Probability
Regression models
Time series
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Summary:In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence. This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationary α-mixing sequence. Both the averaged and integrated estimators of coefficient functions are proposed. The asymptotic normalities of the proposed averaged and integrated estimators are also established.
ISSN:1026-0226
1607-887X
DOI:10.1155/2019/7146793