| Texto completo | |
| Autor(es): |
de A. Moura, Maria Silvia
;
Morettin, Pedro A.
;
C. Toloi, Clelia M.
;
Chiann, Chang
Número total de Autores: 4
|
| Tipo de documento: | Artigo Científico |
| Fonte: | JOURNAL OF PROBABILITY AND STATISTICS; v. 2012, p. 31-pg., 2012-01-01. |
| Resumo | |
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) | |
| Processo FAPESP: | 08/51097-6 - Séries temporais, análise de dependência e aplicações |
| Beneficiário: | Pedro Alberto Morettin |
| Modalidade de apoio: | Auxílio à Pesquisa - Temático |