IDEAS home Printed from https://ideas.repec.org/a/hin/jnddns/1025452.html
   My bibliography  Save this article

Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models

Author

Listed:
  • Xingcai Zhou
  • Fangxia Zhu

Abstract

This paper proposes wavelet-M-estimation for time-varying coefficient time series models by using a robust-type wavelet technique, which can adapt to local features of the time-varying coefficients and does not require the smoothness of the unknown time-varying coefficient. The wavelet-M-estimation has the desired asymptotic properties and can be used to estimate conditional quantile and to robustify the usual mean regression. Under mild assumptions, the Bahadur representation and the asymptotic normality of wavelet-M-estimation are established.

Suggested Citation

  • Xingcai Zhou & Fangxia Zhu, 2020. "Wavelet-M-Estimation for Time-Varying Coefficient Time Series Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2020, pages 1-11, September.
    • Handle: RePEc:hin:jnddns:1025452
    DOI: 10.1155/2020/1025452
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/DDNS/2020/1025452.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/DDNS/2020/1025452.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2020/1025452?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xingcai Zhou & Guang Yang & Yu Xiang, 2022. "Quantile-Wavelet Nonparametric Estimates for Time-Varying Coefficient Models," Mathematics, MDPI, vol. 10(13), pages 1-15, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnddns:1025452. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.