数学物理学报(英文版) ›› 2002, Vol. 22 ›› Issue (2): 269-276.

• 论文 • 上一篇    下一篇

WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL

 任浩波, 赵延孟, 李元, 谢衷洁   

  1. Department of Probability and Statistics, Peking University, Beijing 100871, China
    Department of Mathematical Eduation, Shenzhen University, Shenzhen 518060, China
    Department of Mathematics, Guangzhou University, Guangzhou 510050, China
  • 出版日期:2002-04-15 发布日期:2002-04-15

WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL

 LIN Hao-Bo, ZHAO Yan-Meng, LI Yuan, XIE Zhong-Ji   

  1. Department of Probability and Statistics, Peking University, Beijing 100871, China
    Department of Mathematical Eduation, Shenzhen University, Shenzhen 518060, China
    Department of Mathematics, Guangzhou University, Guangzhou 510050, China
  • Online:2002-04-15 Published:2002-04-15

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.

关键词: Heteroscedastic regression model, jumps, wavelets

Abstract:

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.

Key words: Heteroscedastic regression model, jumps, wavelets

中图分类号: 

  • 62G07