Functional Coefficient Estimation with Both Categorical and Continuous Data
We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample perfor...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/336 https://ink.library.smu.edu.sg/context/soe_research/article/1335/viewcontent/Functional_Coefficient_Estimation_with_Both_Categorical_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |