Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models

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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
发表期刊	BIOMETRIKA
ISSN	0006-3444
卷号	90 期号:3 页码:703-716
摘要	We 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.
关键词	heteroscedasticity jump point threshold time delay wavelet
语种	英语
WOS研究方向	Life Sciences & Biomedicine - Other Topics ; Mathematical & Computational Biology ; Mathematics
WOS类目	Biology ; Mathematical & Computational Biology ; Statistics & Probability
WOS记录号	WOS:000185456800015
出版者	BIOMETRIKA TRUST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18359
专题	中国科学院数学与系统科学研究院
通讯作者	Wai-Cheng, IP
作者单位	1.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
推荐引用方式 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.