ESTIMATION AND INFERENCE FOR DYNAMIC SINGLE-INDEX VARYING-COEFFICIENT MODELS

Guan, X; Liu, H; You, JH; Zhou, Y

You, JH (通讯作者),Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China.

STATISTICA SINICA, 2023; 33 (1): 85

Abstract

Motivated by applications, we propose a class of dynamic single-index varying-coefficient models to explore the varying interaction effects on the res......

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