Transfer Function Models with Time-Varying Coefficients

Transfer Function Models with Time-Varying Coefficients

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 thr...

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Bibliographic Details
Main Authors:	Maria Sílvia de A. Moura, Pedro A. Morettin, Clélia M. C. Toloi, Chang Chiann
Format:	Article
Language:	English
Published:	Wiley 2012-01-01
Series:	Journal of Probability and Statistics
Online Access:	http://dx.doi.org/10.1155/2012/451076
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