Transfer Function Models with Time-Varying Coefficients | Zendy

Maria Sílvia de A. Moura | Zendy; Pedro A. Morettin | Zendy; C M C Toloi | Zendy; Chang Chiann | Zendy

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Transfer Function Models with Time-Varying Coefficients

Author(s) -

Maria Sílvia de A. Moura,

Pedro A. Morettin,

C M C Toloi,

Chang Chiann

Publication year - 2012

Publication title -

journal of probability and statistics

Language(s) - English

Resource type - Journals

eISSN - 1687-9538

pISSN - 1687-952X

DOI - 10.1155/2012/451076

Subject(s) - estimator , mathematics , series (stratigraphy) , transfer function , function (biology) , least squares function approximation , wavelet , mathematical optimization , statistics , computer science , artificial intelligence , biology , paleontology , evolutionary biology , electrical engineering , engineering

We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions ofthe 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 ofthe proposed procedure to a real pair of series

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