QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes

QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes

This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood QML estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties existence, consistency, and asymptotic distributions of the QML estimators are investigated. These results extend those of Maller 20...

Gaussian Processes for Functional-Coefficient Autoregressive Models

This work is concerned with nonlinear time series models and, in particular, with nonparametric models for the dynamics of the mean of the time series. We build on the functional-coefficient autoregressive (FAR) model of Chen and Tsay (1993) which is a generalization of the autoregressive (AR) model where the coefficients are varying and are given by functions of the lagged values of the series...

Hypothesis Testing in Generalized Linear Models with Functional Coefficient Autoregressive Processes

Varying-Coefficient Functional Linear Regression Models

We propose in this work a generalization of the functional linear model in which an additional real variable influences smoothly the functional coefficient. This leads us to build a varying-coefficient regressionmodel for functional data. We propose two estimators based respectively on conditional functional principal regression and on local penalized regression splines and prove their pointwis...

Robust Estimators for Random Coefficient Regression Models

Random coefficient regression models have received considerable attention, especially from econometricians. Previous work has assumed that the coefficients have normal distributions. The variances of the coefficients have, in previous papers, been estimated by maximum likelihood or by least squares methodology applied to the squared residuals from a preliminary (unweighted) fit. Maximum likelih...