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    ADAPTIVE VARYING-COEFFICIENT LINEAR MODELS FOR STOCHASTIC PROCESSES: ASYMPTOTIC THEORY

    Access Status
    Fulltext not available
    Authors
    Lu, Zudi
    Tjostheim, D.
    YAO, Q.
    Date
    2007
    Type
    Journal Article
    
    Metadata
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    Citation
    Lu, Z. and Tjostheim, D. and YAO, Q. 2007. ADAPTIVE VARYING-COEFFICIENT LINEAR MODELS FOR STOCHASTIC PROCESSES: ASYMPTOTIC THEORY. Statistica Sinica. 17: pp. 177-197.
    Source Title
    Statistica Sinica
    Additional URLs
    http://www3.stat.sinica.edu.tw/statistica/
    ISSN
    10170405
    URI
    http://hdl.handle.net/20.500.11937/15799
    Collection
    • Curtin Research Publications
    Abstract

    We establish the asymptotic theory for the estimation of adaptive varying coefficient linear models. More specifically, we show that the estimator of the index parameter is root-n-consistent. It differs from the locally optimal estimator that has been proposed in the literature with a prerequisite that the estimator is within a n^{-delta} distance of the true value. To this end, we establish two fundamental lemmas for the asymptotic properties of the estimators of parametric components in a general semiparametric setting. Furthermore, the estimation for the coefficient functions is asymptotically adaptive to the unknown index parameter. Asymptotic properties are derived using the empirical process theory for strictly stationary beta-mixing processes.

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