Time-varying coefficient models with ARMA–GARCH structures for longitudinal data analysis
نویسندگان
چکیده
منابع مشابه
Robust Inference for Time-Varying Coefficient Models with Longitudinal Data
Time-varying coefficient models are useful in longitudinal data analysis. Various efforts have been invested for the estimation of the coefficient functions, based on the least squares principle. Related work includes smoothing spline and kernel methods among others, but these methods suffer from the shortcoming of non-robustness. In this paper, we introduce a local M-estimation method for esti...
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ژورنال
عنوان ژورنال: Journal of Applied Statistics
سال: 2014
ISSN: 0266-4763,1360-0532
DOI: 10.1080/02664763.2014.949638