非参数回归中方差变点的小波检测(英文)  

Detection of Change Points in Volatility of Non-Parametric Regression by Wavelets

作　　者：王景乐[1] 郑明[1] 

机构地区：[1]复旦大学管理学院统计学系,上海200433

出　　处：《应用概率统计》2012年第4期413-438,共26页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the National Natural Science Foundation of China (10971033)

摘　　要：本文主要研究了非参数回归模型中方差函数的变点, 利用小波方法构造的检验量来检测方差中的变点,建立了这些检验量的渐近分布, 并且运用这些检验量构造了方差变点的位置和跳跃幅度的估计, 给出了这些估计的渐近性质, 并进一步通过随机模拟验证了本文方法在有限样本下的性质.This paper studies the detection and estimation of change points in volatility under nonpara- metric regression models. Wavelet methods axe applied to construct the test statistics which can be used to detect change points in volatility. The asymptotic distributions of the test statistics are established. We also utilize the test statistics to construct the estimators for the locations and jump sizes of the change points in volatility. The asymptotic properties of these estimators axe derived. Some simulation studies are conducted to assess the finite sample performance of the proposed procedures.

关 键 词：方差变点 小波系数 核估计 局部线性平滑 Α-混合 

分 类 号：O212.7[理学—概率论与数理统计]