| 非参数回归中方差变点的小波检测(英文) |
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| 引用本文： | Wang Jingle,Zheng Ming. 非参数回归中方差变点的小波检测(英文)[J]. 应用概率统计, 2012, 28(4): 413-438 |
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| 作者姓名： | Wang Jingle Zheng Ming |
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| 作者单位： | 复旦大学管理学院统计学系 |
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| 基金项目： | supported by the National Natural Science Foundation of China (10971033) |
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| 摘 要： | 本文主要研究了非参数回归模型中方差函数的变点, 利用小波方法构造的检验量来检测方差中的变点,建立了这些检验量的渐近分布, 并且运用这些检验量构造了方差变点的位置和跳跃幅度的估计, 给出了这些估计的渐近性质, 并进一步通过随机模拟验证了本文方法在有限样本下的性质.
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| 关 键 词： | 方差变点 小波系数 核估计 局部线性平滑 α-混合 |
Detection of Change Points in Volatility of Non-Parametric Regression by Wavelets |
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| Wang Jingle Zheng Ming. Detection of Change Points in Volatility of Non-Parametric Regression by Wavelets[J]. Chinese Journal of Applied Probability and Statisties, 2012, 28(4): 413-438 |
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| Authors: | Wang Jingle Zheng Ming |
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| Affiliation: | Department of Statistics, Management School of Fudan University |
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| Abstract: | This paper studies the detection andestimation of change points in volatility under nonparametricregression models. Wavelet methods are applied to construct the teststatistics which can be used to detect change points in volatility.The asymptotic distributions of the test statistics are established.We also utilize the test statistics to construct the estimators forthe locations and jump sizes of the change points in volatility. Theasymptotic properties of these estimators are derived. Somesimulation studies are conducted to assess the finite sampleperformance of the proposed procedures. |
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