Time-varying covariate - Wikipedia
A time-varying covariate (also called time-dependent covariate) is a term used in statistics, particularly in survival analysis. [1]
Time-varying covariates and coefficients in Cox regression …
2018年2月12日 · Time-varying covariance occurs when a covariate changes over time during the follow-up period. Such variable can be analyzed with the Cox regression model to estimate its …
A Conceptual Introduction to Time-Varying Effect Modeling
2021年5月7日 · We begin with a conceptual overview of time-varying effect modeling (TVEM), focusing on definitions of “time” and how this modeling framework extends the commonly used …
Full article: A Tutorial on Estimating Time-Varying Vector ...
2020年4月23日 · In this tutorial paper, we introduce methods to estimate time-varying VAR models based on splines and kernel-smoothing with/without regularization. We use …
Specifying, Estimating, and Interpreting Time-Varying Effect Models
2021年5月7日 · In this chapter, we guide the reader through model specification and interpretation in time-varying effect modeling (TVEM) with a continuous dependent variable. We begin by …
Time-Varying Volatility: What It Is, How It Works - Investopedia
2022年10月31日 · Time-varying volatility describes how the price volatility of an asset may change given different time periods. Volatility analysis requires the use of financial models to …
A time-varying-parameter vector autoregression model with …
3 天之前 · The basic Vector Autoregression (VAR) model is heavily used in macro-econometrics for explanatory purposes and forecasting purposes in trading. In recent years, a VAR model …
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS
Abstract. Time variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently, there has been considerable focus on …
This paper summarizes the results of a NBER symposium on time-varying parameter structures and describes three areas of current research: random-coefficients models, systematic …
Time Varying Extremes | The Review of Economics and Statistics
2024年10月29日 · We derive inference about these parameters, and tests of the null hypothesis of time invariance, under asymptotics that do not require the number of extremes or the …