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Transfer Function Models with Time-Varying Coefficients

Author

Listed:
  • Maria Sílvia de A. Moura
  • Pedro A. Morettin
  • Clélia M. C. Toloi
  • Chang Chiann

Abstract

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 through a simulation study. We also present an application of the proposed procedure to a real pair of series.

Suggested Citation

  • Maria Sílvia de A. Moura & Pedro A. Morettin & Clélia M. C. Toloi & Chang Chiann, 2012. "Transfer Function Models with Time-Varying Coefficients," Journal of Probability and Statistics, Hindawi, vol. 2012, pages 1-31, April.
    • Handle: RePEc:hin:jnljps:451076
    DOI: 10.1155/2012/451076
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