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Article: On the estimation and testing of functional-coefficient linear models

TitleOn the estimation and testing of functional-coefficient linear models
Authors
KeywordsFAR model
Local linear smoother
Nonparametric regression
Strongly mixing sequence
Wiener process
Issue Date1999
PublisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/
Citation
Statistica Sinica, 1999, v. 9 n. 3, p. 735-757 How to Cite?
AbstractIn this paper we investigate the estimation and testing of the functional coefficient linear models under dependence, which includes the functional coefficient autoregressive model of Chen and Tsay (1993). We use local linear smoothing to estimate the coefficient functions of a functional-coefficient linear model, prove their uniform consistency, and derive their asymptotic distributions in terms of Gaussian processes. From these distributions we can obtain some tests about coefficient functions and the model. Some simulations and a study of real data are reported.
Persistent Identifierhttp://hdl.handle.net/10722/45347
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorXia, Yen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2007-10-30T06:23:27Z-
dc.date.available2007-10-30T06:23:27Z-
dc.date.issued1999en_HK
dc.identifier.citationStatistica Sinica, 1999, v. 9 n. 3, p. 735-757en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45347-
dc.description.abstractIn this paper we investigate the estimation and testing of the functional coefficient linear models under dependence, which includes the functional coefficient autoregressive model of Chen and Tsay (1993). We use local linear smoothing to estimate the coefficient functions of a functional-coefficient linear model, prove their uniform consistency, and derive their asymptotic distributions in terms of Gaussian processes. From these distributions we can obtain some tests about coefficient functions and the model. Some simulations and a study of real data are reported.en_HK
dc.format.extent261654 bytes-
dc.format.extent122542 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectFAR modelen_HK
dc.subjectLocal linear smootheren_HK
dc.subjectNonparametric regressionen_HK
dc.subjectStrongly mixing sequenceen_HK
dc.subjectWiener processen_HK
dc.titleOn the estimation and testing of functional-coefficient linear modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=9&issue=3&spage=735&epage=757&date=1999&atitle=On+the+estimation+and+testing+of+functional-coefficient+linear+modelsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-0033440214en_HK
dc.identifier.hkuros41937-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0033440214&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume9en_HK
dc.identifier.issue3en_HK
dc.identifier.spage735en_HK
dc.identifier.epage757en_HK
dc.identifier.isiWOS:000081744000009-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridXia, Y=7403027730en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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