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- Zongwu Cai, Qi Li, Joon Y. Park
- 2008

This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coefficient functions. Consistency and asymptotic distributions of the estimators are obtained, showing different convergence rates for the stationary and… (More)

- Zongwu Cai, Jianqing Fan
- 2000

- Zongwu Cai
- 1999

In this article we study nonparametric estimation of regression quantiles by inverting a weighted Nadaraya-Watson estimator (WNW) of conditional distribution function, which was rst used by Hall, Woll and Yao (1999). First, under some regularity conditions, we establish the asymptotic normality and weak consistency of the WNW conditional distribution… (More)

- Jianqing Fan, Qiwei Yao, Zongwu Cai
- 2000

Contents: Abstract 1. Introduction 2. Overview of varying-coefficient modesl 3. Adaptive varying-coefficient linear models 4. Varying-coefficient linear models with two indices 5. Numerical properties Appendix: Proof of Theorem 1 References Figure 7(a)

- Zongwu Cai
- 1997

In some long term studies, a series of dependent and possibly censored failure times may be observed. Suppose that the failure times have a common marginal distribution function, and inferences about it are of our interest. The main result of this paper is that of providing, under certain regularity conditions, the Kaplan-Meier estimator can be expressed as… (More)

- Zongwu Cai, Ram C Tiwari
- 1999

In this paper, we analyze the biochemical oxygen demand data collected over two years from by tting an autoregressive model with time-dependent coeecients. The local linear smoothing technique is developed and implemented to estimate the coeecient functions of the autoregressive model. A nonparametric version of the Akaike information criterion is developed… (More)

- Zongwu Cai, Chih-Ling Tsai
- 1997

SUMMARY We consider two score tests for heteroscedasticity i n the errors of a signal plus noise model, where the signal is estimated by wavelet thresholding methods. The error variances are assumed to depend on observed covariates, through a parametric relationship of known form. The tests are based on the approaches of Breusch & Pagan (1979), and Koenker… (More)

- Zongwu Cai, Xiaoping Xu
- 2006

In this paper, quantile regression methods are suggested for a class of smooth coefficient time series models. We employ a local linear fitting scheme to estimate the smooth coefficients in the quantile framework. The programming involved in the local linear quantile estimation is relatively simple and it can be modified with few efforts from the existing… (More)

- Zongwu Cai
- 2001

In this article we study nonparametric estimation of regression function by using the weighted Nadaraya-Watson approach. We establish the asymptotic normality and weak consistency of the resulting estimator for-mixing time series at both boundary and interior points, and we show that the estimator preserves the bias, variance, and more importantly,… (More)

- Zongwu Cai, Jianqing Fan
- 1998

We apply the local linear regression technique for estimation of functional-coeecient regression models for time series data. The models include threshold autoregressive models (Tong 1990) and functional-coeecient autoregressive models (Chen and Tsay 1993) as special cases but with the added advantages such as depicting ner structure of the underlying… (More)