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Statistical methods with varying coefficient models. (English) Zbl 1230.62031
Summary: Varying coefficient models are very important tools to explore the dynamic patterns in many scientific areas, such as economics, finance, politics, epidemiology, medical sciences, ecology, and so on. They are natural extensions of classical parametric models with good interpretability and are becoming more and more popular in data analysis. Thanks to their flexibility and interpretability, in the past ten years, varying coefficient models have experienced deep and exciting developments on methodological, theoretical and applied sides. This paper gives a selective overview on the major methodological and theoretical developments of varying coefficient models.

MSC:
62G05 Nonparametric estimation
62G10 Nonparametric hypothesis testing
62G15 Nonparametric tolerance and confidence regions
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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