Detection of the jump points of a heteroscedastic regression model by wavelets |
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Authors: | Zhao Yanmeng Li Yuan |
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Institution: | (1) Department of Mathematical Education, Shenzhen University, 518060 Shenzhen, China;(2) Department of Mathematics, Guangzhou University, 510400 Guangzhou, China |
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Abstract: | Wavelets are applied to detect the jumps in a heteroscedastic regression model. By the empirical wavelet coefficients of the conditional mean and the conditional variance of the time series under consideration, 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 proved to be consistent. |
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Keywords: | Heteroscedasticity regression model jumps wavel0 |
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