Wavelet estimation for jumps in a heteroscedastic regression model

被引：4

作者：

Ren, HB

Zhao, YM

Yuan, L

Xie, ZJ

机构：

[1] Peking Univ, Dept Probabil & Stat, Beijing 100871, Peoples R China

[2] Shenzhen Univ, Dept Math Educ, Shenzhen 518060, Peoples R China

[3] Guangzhou Univ, Dept Math, Guangzhou 510050, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 2002年 / 22卷 / 02期

关键词：

heteroscedastic regression model; jumps; wavelets;

D O I：

10.1016/S0252-9602(17)30481-2

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Wavelets are applied to detect the jumps in a heteroscedastic regression model. It is shown that the wavelet coefficients of the data have significantly large absolute values across fine scale levels near the jump points. Then a procedure is developed to estimate the jumps and jump heights. All estimators are proved to be consistent.

引用

页码：269 / 276

页数：8

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