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

DOI10.1093/biomet/90.3.703zbMath1436.62428OpenAlexW2138277881MaRDI QIDQ2813883

Hong-Zhi An, Heung Wong, Wai-Cheung Ip, Yu'an Li

Publication date: 27 June 2016

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/90.3.703

zbMATH Keywords

time delaywaveletheteroscedasticitythresholdjump point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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