DETECTION OF THE JUMP POINTS OF A HETEROSCEDASTIC REGRESSION MODEL BY WAVELETS  

作　　者：赵延孟 李元 

出　　处：《Acta Mathematicae Applicatae Sinica》2000年第4期420-429,共10页应用数学学报（英文版）

基　　金：the National Natural Science Foundation of China (No.19571010).

摘　　要：Wavelets are applied to detect the jumps in a heteroscedastic regression model. By the empirical wavelet coefficients of the conditional mean and the conditional variance of the time series under consideration, it is shown that the wavelet coefficients exhibit high peaks near the jump points, based on which a procedure is developed to identify and then to locate the jumps. All estimators are proved to be consistent.Wavelets are applied to detect the jumps in a heteroscedastic regression model. By the empirical wavelet coefficients of the conditional mean and the conditional variance of the time series under consideration, it is shown that the wavelet coefficients exhibit high peaks near the jump points, based on which a procedure is developed to identify and then to locate the jumps. All estimators are proved to be consistent.

关 键 词：HETEROSCEDASTICITY regression model JUMPS wavel0 

分 类 号：O1[理学—数学]