Acta mathematica scientia,Series B ›› 2002, Vol. 22 ›› Issue (2): 269-276.

• Articles • Previous Articles     Next Articles

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

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

CLC Number: 

  • 62G07
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