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FUNCTIONAL COEFFICIENT MOVING AVERAGE MODEL WITH APPLICATIONS TO FORECASTING CHINESE CPI
Moving Average model functional coefficient model fore- casting Consumer Price Index
2016/1/26
This article establishes the functional coefficient moving average mod-el (FMA), which allows the coefficient of the classical moving average model to adapt with a covariate. The functional coefficien...
Expectiles for subordinated Gaussian processes with applications
expectiles robustness local shift sensitivity
2011/7/19
In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process.