WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL  

作　　者：任浩波 赵延孟 李元 谢衷洁 

出　　处：《Acta Mathematica Scientia》2002年第2期269-276,共8页数学物理学报（B辑英文版）

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.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 

分 类 号：O212[理学—概率论与数理统计]