Wavelet estimation in time-varying coefficient models. (English) Zbl 1431.62133
Summary: The paper is concerned with the estimation of a time-varying coefficient time series model, which is used to characterize the nonlinearity and trending phenomenon. We develop the wavelet procedures to estimate the coefficient functions and the error variance. We establish asymptotic properties of the proposed wavelet estimators under the \(\alpha\)-mixing conditions and without specifying the error distribution. These results can be used to make asymptotically valid statistical inference.
MSC:
| 62G05 | Nonparametric estimation |
| 60G07 | General theory of stochastic processes |
| 42C40 | Nontrigonometric harmonic analysis involving wavelets and other special systems |
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