Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/23019
Title: Detection of jumps by wavelets in a heteroscedastic autoregressive model
Authors: Wong, H 
Ip, W
Li, Y
Keywords: Autoregressive model
Heteroscedasticity
Jumps
Wavelets
Issue Date: 2001
Publisher: Elsevier Science Bv
Source: Statistics and probability letters, 2001, v. 52, no. 4, p. 365-372 How to cite?
Journal: Statistics and Probability Letters 
Abstract: Wavelets are applied to detect the jumps in a heteroscedastic autoregressive model. The empirical wavelet coefficients are defined respectively for the conditional mean and the conditional variance of the model. 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 shown to be consistent.
URI: http://hdl.handle.net/10397/23019
ISSN: 0167-7152
DOI: 10.1016/S0167-7152(00)00218-2
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