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Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory

Author

Listed:
  • Lu, Zudi
  • Tjøstheim, Dag
  • Yao, Qiwei

Abstract

We have established the asymptotic theory for the estimation of adaptive varying-coe�cient linear models. More speci�cally we have shown that the estimator for the global index parameter is root-n consistent without imposing, as a prerequisite, that the estimator is within n

Suggested Citation

  • Lu, Zudi & Tjøstheim, Dag & Yao, Qiwei, 2007. "Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory," LSE Research Online Documents on Economics 5411, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:5411
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    File URL: http://eprints.lse.ac.uk/5411/
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    Citations

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    Cited by:

    1. Weihua Zhao & Jianbo Li & Heng Lian, 2018. "Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 553-582, June.
    2. Ye, Mao & Lu, Zhao-Hua & Li, Yimei & Song, Xinyuan, 2019. "Finite mixture of varying coefficient model: Estimation and component selection," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 452-474.
    3. Zhao, Weihua & Lian, Heng, 2017. "Quantile index coefficient model with variable selection," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 40-58.
    4. Weihua Zhao & Riquan Zhang & Yazhao Lv & Jicai Liu, 2017. "Quantile regression and variable selection of single-index coefficient model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 761-789, August.
    5. Huang, Zhensheng & Pang, Zhen & Lin, Bingqing & Shao, Quanxi, 2014. "Model structure selection in single-index-coefficient regression models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 159-175.
    6. Lu, Zudi & Zhang, Wenyang, 2012. "Semiparametric likelihood estimation in survival models with informative censoring," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 187-211.
    7. Xialu Liu & Zongwu Cai & Rong Chen, 2015. "Functional coefficient seasonal time series models with an application of Hawaii tourism data," Computational Statistics, Springer, vol. 30(3), pages 719-744, September.
    8. Zudi Lu & Dag Johan Steinskog & Dag Tjøstheim & Qiwei Yao, 2009. "Adaptively varying‐coefficient spatiotemporal models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 859-880, September.

    More about this item

    Keywords

    adaptive varying-coe�cient model; mixing; asymptotic normality; index parameter; root-n consistency; uniform convergence.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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