NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
Author:
Affiliation:
1. Bar-Ilan University; Ramat Gan Israel
2. Yale University; New Haven CT USA
3. University of Auckland; Auckland New Zealand
4. Southampton University; Southampton UK
5. Singapore Management University; Singapore
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12083/fullpdf
Reference29 articles.
1. Functional-coefficient autoregressive models;Chen;Journal of the American Statistical Association,1993
2. A likelihood approximation for locally stationary processes;Dahlhaus;The Annals of Statistics,2000
3. Nonlinear wavelet estimation of time-varying autoregressive process;Dahlhaus;Bernoulli,1999
4. Testing for unit roots: 2;Evans;Econometrica,1984
5. Maximum likelihood estimation for continuous time stochastic processes;Feigin;Advances in Applied Probability,1976
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