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Time Series Modelling with Semiparametric Factor Dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
High-dimensional regression problems which reveal dynamic behavior are typicallyanalyzed by time propagation of a few number of factors. The inference on thewhole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...
Persistent link: https://www.econbiz.de/10005861034
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10005861878
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - Sonderforschungsbereich 373, Quantifikation und … - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10010983745
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10010310580
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Time Series Modelling With Semiparametric Factor Dynamics
Park, Byeong U.; Mammen, Enno; Härdle, Wolfgang; … - In: Journal of the American Statistical Association 104 (2009) 485, pp. 284-298
Persistent link: https://www.econbiz.de/10004982650
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Time Series Modelling with Semiparametric Factor Dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...
Persistent link: https://www.econbiz.de/10005677954
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10005677957
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Testomg increasing dispersion
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000839552
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
Persistent link: https://www.econbiz.de/10001715636
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10009627286