Mathematics
4 years ago

New method accurately predicts time-varying trends, revolutionizing data analysis.

arXiv (Cornell University)
Some Theoretical Results Concerning Time-varying Nonparametric Regression with Local Stationary Regressors and Error
Jiyanglin Li, Tao Li

Paper Summary

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The article discusses a method for estimating nonparametric regression models with changing variables and errors. The researchers found that their three-step estimation procedure accurately estimates the regression function and error structure. They also showed that their ULASSO method effectively selects variables and detects constant coefficients in the error term. Simulation studies confirmed the estimators' performance in real-world scenarios.