Estimating and forecasting partially linear models with non stationary exogeneous variables
classification
🧮 math.ST
stat.TH
keywords
estimatingexogeneousforecastinglinearpartiallyvariablesbackfitting-typeconvergence
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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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