Estimating and forecasting partially linear models with non stationary exogeneous variables
Statistics Theory
2011-02-23 v1 Statistics Theory
Abstract
This paper presents a backfitting-type method for estimating and forecasting a periodically correlated partially linear model with exogeneous variables and heteroskedastic input noise. A rate of convergence of the estimator is given. The results are valid even if the period is unknown.
Cite
@article{arxiv.1102.4351,
title = {Estimating and forecasting partially linear models with non stationary exogeneous variables},
author = {Xavier Brossat and Georges Oppenheim and Marie-Claude Viano},
journal= {arXiv preprint arXiv:1102.4351},
year = {2011}
}