About: History index model

In statistical analysis, the standard framework of varying coefficient models (also known as concurrent regression models), where the current value of a response process is modeled in dependence on the current value of a predictor process, is disadvantageous when it is assumed that past and present values of the predictor process influence current response. In contrast to these approaches, the history index model includes the effect of recent past values of the predictor through the history index function. Specifically, the influence of past predictor values is modeled by a smooth history index functions, while the effects on the response are described by smooth varying coefficient functions.