Abstract
In this paper, the model studied is the varying coefficient model y = x 1β1(t) + · + x p β p (t) + ε, where Eε = 0, Eε2 = σ2 and β l (t), l = 1,…, p are smooth coefficient functions, which are approximated by the B-spline function and estimated under the least squares criterion. The local optimal convergence rate of the B-spline estimators of the coefficient functions is obtained. In addition, the asymptotic normality is established under appropriate conditions.To illuminate our methods a simulation study is conducted.
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