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This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10005677996
the BIC to additive models with identity/trivial link, an asymptotically consistent BIC approach for variable selection is …
Persistent link: https://www.econbiz.de/10010734526