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Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models
Wai-Cheng, IP; Wong, H
2003-09-01
Source PublicationBIOMETRIKA
ISSN0006-3444
Volume90Issue:3Pages:703-716
AbstractWe consider the testing and estimation of thresholds in heteroscedastic threshold auto-regressive models with an unknown number of thresholds. A test statistic based on empirical wavelet coefficients is proposed. The asymptotic distribution of the test statistic is established and consistent estimators of the thresholds and the number of thresholds are given. A Monte Carlo study and a real example are used to assess the performance of our method.
Keywordheteroscedasticity jump point threshold time delay wavelet
Language英语
WOS Research AreaLife Sciences & Biomedicine - Other Topics ; Mathematical & Computational Biology ; Mathematics
WOS SubjectBiology ; Mathematical & Computational Biology ; Statistics & Probability
WOS IDWOS:000185456800015
PublisherBIOMETRIKA TRUST
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18359
Collection中国科学院数学与系统科学研究院
Affiliation1.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
2.Guangzhou Univ, Dept Math, Guangzhou 510405, Peoples R China
3.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Wai-Cheng, IP,Wong, H. Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models[J]. BIOMETRIKA,2003,90(3):703-716.
APA Wai-Cheng, IP,&Wong, H.(2003).Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models.BIOMETRIKA,90(3),703-716.
MLA Wai-Cheng, IP,et al."Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models".BIOMETRIKA 90.3(2003):703-716.
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