Estimating and forecasting partially linear models with non stationary exogeneous variables

Details Estimating and forecasting partially linear models with non stationary exogeneous variables Estimating and forecasting partially linear models with non stationary exogeneous variables

2011-02-21

arxiv.org/abs/1102.4351v1

Mathematics

Statistics Theory

Scientific paper

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.

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