| Full text | |
| Author(s): |
de A. Moura, Maria Silvia
;
Morettin, Pedro A.
;
C. Toloi, Clelia M.
;
Chiann, Chang
Total Authors: 4
|
| Document type: | Journal article |
| Source: | JOURNAL OF PROBABILITY AND STATISTICS; v. 2012, p. 31-pg., 2012-01-01. |
| Abstract | |
We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions of the time-varying coefficients. We discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. We also present an application of the proposed procedure to a real pair of series. (AU) | |
| FAPESP's process: | 08/51097-6 - Time Series, Dependence Analysis and Applications |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |