Simultaneous inference of linear models with time varying coefficients

Zhou Zhou and Wei Biao Wu

Journal of the Royal Statistical Society Series B, 2010, vol. 72, issue 4, 513-531

Abstract: Summary. The paper considers construction of simultaneous confidence tubes for time varying regression coefficients in functional linear models. Using a Gaussian approximation result for non‐stationary multiple time series, we show that the constructed simultaneous confidence tubes have asymptotically correct nominal coverage probabilities. Our results are applied to the problem of testing whether the regression coefficients are of certain parametric forms, which is a fundamental problem in the inference of functional linear models. As an application, we analyse an environmental data set and study the association between levels of pollutants and hospital admissions.

Date: 2010
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https://doi.org/10.1111/j.1467-9868.2010.00743.x

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