Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

DOI10.1016/j.jeconom.2010.06.001zbMath1431.62178OpenAlexW2031795579MaRDI QIDQ736698

Yong Zhou, Alan T. K. Wan, Shangyu Xie, Xiao-Jing Wang

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.06.001

zbMATH Keywords

convergenceasymptotic distributionnormal distributionjumpLipschitz continuous\(\lambda\)-sharp cuspdiscretized estimatorintegral estimatorleave-one-out cross validationresolution level selection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México ⋮ Wavelet Analysis of Change Points in Nonparametric Hazard Rate Models Under Random Censorship ⋮ Jump detection in time series nonparametric regression models: a polynomial spline approach ⋮ Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms ⋮ Wavelet detection of change points in hazard rate models with censored dependent data

Uses Software

• wavethresh

Cites Work

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