On the estimation and testing of functional-coefficient linear models

Yingcun XIA, Wai Keung LI

Research output: Contribution to journalArticles

80 Citations (Scopus)

Abstract

In this paper we investigate the estimation and testing of the functional coefficient linear models under dependence, which includes the functional coefficient autoregressive model of Chen and Tsay (1993). We use local linear smoothing to estimate the coefficient functions of a functional-coefficient linear model, prove their uniform consistency, and derive their asymptotic distributions in terms of Gaussian processes. From these distributions we can obtain some tests about coefficient functions and the model. Some simulations and a study of real data are reported. Copyright © 1999 Institute of Statistical Science, Academia Sinica.
Original languageEnglish
Pages (from-to)735-757
JournalStatistica Sinica
Volume9
Issue number3
Publication statusPublished - Jul 1999

Citation

Xia, Y., & Li, W. K. (1999). On the estimation and testing of functional-coefficient linear models. Statistica Sinica, 9(3), 735-757.

Keywords

  • FAR model
  • Local linear smoother
  • Nonparametric regression
  • Strongly mixing sequence
  • Wiene process

Fingerprint Dive into the research topics of 'On the estimation and testing of functional-coefficient linear models'. Together they form a unique fingerprint.